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	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).

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