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Results 1-1 of 1 (Search time: 0.002 seconds).
Parametric models and non-parametric machine learning models for predicting option prices: Empirical comparison study over KOSPI 200 Index options
Park, Hyejin;
Kim, Namhyoung
; Lee, Jaewook
Article
Issue Date
2014
Citation
EXPERT SYSTEMS WITH APPLICATIONS, v.41, no.11, pp.5227 - 5237
Publisher
PERGAMON-ELSEVIER SCIENCE LTD
1
Discover
Author
Lee, Jaewook
1
Kim, Nam Hyoung
1
Park, Hyejin
1
Subject
Artificial neural network
1
Black-Scholes model
1
CALIBRATION
1
Gaussian processes
1
Heston model
1
IMPLIED VOLATILITY FUNCTIONS
1
Merton model
1
NEURAL-NETWORKS
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Option pricing
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STOCHASTIC VOLATILITY
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2014
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