A Pragmatical Option Pricing Method Combining Black-Scholes Formula, Time Series Analysis and Artificial Neural Network | |
Kai Liu ; Xiao Wang | |
2013 | |
关键词 | Adjusted Black-Scholes Model Times Series Analysis |
英文摘要 | 2013 Ninth International Conference on Computational Intelligence and Security; Although many theoretical methods were developed to price various derivatives, pricing deviation still remains very high. This paper provides a pragmatical option pricing method by combining skewness and kurtosis adjusted Black- Scholes model of Corrado and Su, time series analysis and Artificial Neural Network (ANN). The empirical tests in FTSE 100 Index options show that pricing deviation calculated by adjusted Black-Scholes model is still high. After the model is modified by time series analysis and ANN methods, the pricing deviation is reduced, which is much smaller than the previous models. It is suggested that time series analysis and Artificial Neural Network methods can be used in the pragmatical work to make the pricing more fast and precise. |
语种 | 英语 |
内容类型 | 期刊论文 |
源URL | [http://dspace.xmu.edu.cn/handle/2288/79848] ![]() |
专题 | OAPS-大学生创新计划项目 |
推荐引用方式 GB/T 7714 | Kai Liu,Xiao Wang. A Pragmatical Option Pricing Method Combining Black-Scholes Formula, Time Series Analysis and Artificial Neural Network[J],2013. |
APA | Kai Liu,&Xiao Wang.(2013).A Pragmatical Option Pricing Method Combining Black-Scholes Formula, Time Series Analysis and Artificial Neural Network.. |
MLA | Kai Liu,et al."A Pragmatical Option Pricing Method Combining Black-Scholes Formula, Time Series Analysis and Artificial Neural Network".(2013). |
个性服务 |
查看访问统计 |
相关权益政策 |
暂无数据 |
收藏/分享 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。
修改评论