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Improving option price forecasts with neural networks and support vector regressions
16 references·12 citing·34 second hop
Improving option price forecasts with neural networks and support vector regressions (2009)Improving option price forecasts with neu…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Neural network forecasts of Canadian stock returns using accounting ratios (2003)Neural network forecasts of C…Financial time series forecasting using support vector machines (2003)Financial time series forecas…Regression methods for pricing complex American-style options (2001)Regression methods for pricin…Financial Forecasting Using Support Vector Machines (2001)Financial Forecasting Using S…Edgeworth Binomial Trees (1998)Edgeworth Binomial TreesEmpirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES (1996)SKEWNESS AND KURTOSIS IN S&P …A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks (1994)A Nonparametric Approach to P…A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks (1994)A Nonparametric Approach to P…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Option pricing: A simplified approach (1979)Option pricing: A simplified …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Time-sequencing European options and pricing with deep learning – Analyzing based on interpretable ALE method (2021)Time-sequencing European opti…DeepOption: A novel option pricing framework based on deep learning with fused distilled data from multiple parametric methods (2020)DeepOption: A novel option pr…Research on Quantitative Investment Strategies Based on Deep Learning (2019)Research on Quantitative Inve…Neural Network Models for Bitcoin Option Pricing (2019)Neural Network Models for Bit…A Novel Hybrid Model for Stock Price Forecasting Based on Metaheuristics and Support Vector Machine (2019)A Novel Hybrid Model for Stoc…A new hybrid parametric and machine learning model with homogeneity hint for European-style index option pricing (2016)A new hybrid parametric and m…A Data-Driven Fuzzy Information Granulation Approach for Freight Volume Forecasting (2016)A Data-Driven Fuzzy Informati…A real time clustering and SVM based price-volatility prediction for optimal trading strategy (2013)A real time clustering and SV…A hybrid procedure with feature selection for resolving stock/futures price forecasting problems (2011)A hybrid procedure with featu…Tax forecasting theory and model based on SVM optimized by PSO (2010)Tax forecasting theory and mo…Pricing currency options with support vector regression and stochastic volatility model with jumps (2010)Pricing currency options with…Comparison of the finite mixture of ARMA-GARCH, back propagation neural networks and support-vector machines in forecasting financial returns (2010)Comparison of the finite mixt…Forecasting with artificial neural networks: (1998)Predicting direction of stock price index movement using artificial neural networks and support vector machines: The sample of the Istanbul Stock Exchange (2010)Predicting stock and stock price index movement using Trend Deterministic Data Preparation and machine learning techniques (2014)Stock market's price movement prediction with LSTM neural networks (2017)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)The Behavior of Stock-Market Prices (1965)Generalized autoregressive conditional heteroskedasticity (1986)Chapter 49 Arch models (1994)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Idiosyncratic Risk Matters! (2003)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)A Stochastic Approximation Method (1951)Nonparametric risk management and implied risk aversion (2000)Application of neural networks to an emerging financial market: forecasting and trading the Taiwan Stock Index (2002)Deep Learning for Finance: Deep Portfolios (2016)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)Econometric Analysis of Cross Section and Panel Data (2001)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 2003Financial time series forecasting using support vector machines1,734 cited
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
  • 1994A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks718 cited
  • 2001Regression methods for pricing complex American-style options612 cited
  • 2001Financial Forecasting Using Support Vector Machines392 cited
  • 1996SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES318 cited
  • 2003Neural network forecasts of Canadian stock returns using accounting ratios182 cited
  • 1994A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks

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156 cited
  • 1998Edgeworth Binomial Trees153 cited
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    • 2011A hybrid procedure with feature selection for resolving stock/futures price forecasting problems54 cited
    • 2019Neural Network Models for Bitcoin Option Pricing46 cited
    • 2021Time-sequencing European options and pricing with deep learning – Analyzing based on interpretable ALE method44 cited
    • 2016A new hybrid parametric and machine learning model with homogeneity hint for European-style index option pricing43 cited
    • 2019Research on Quantitative Investment Strategies Based on Deep Learning43 cited
    • 2010Comparison of the finite mixture of ARMA-GARCH, back propagation neural networks and support-vector machines in forecasting financial returns39 cited
    • 2010Pricing currency options with support vector regression and stochastic volatility model with jumps32 cited
    • 2020DeepOption: A novel option pricing framework based on deep learning with fused distilled data from multiple parametric methods31 cited