A simple options training model

Mathematical and Computer Modelling

Volumn 30, Issue 5-6, 1999, Pages 167-182

  Ingber, L ^a,b  

^a Chicago Mercantile Exchange   (United States)

^b Wacker Dr PO Sears Tower   (United States)

Author keywords

Optimization; Options; Volatility

Indexed keywords

EID: 0033199796     PISSN: 08957177     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0895-7177(99)00155-7     Document Type: Article

References (11)

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4. L. Ingber, Statistical mechanics of neocortical interactions: Training and testing canonical momenta indicators of EEG, Mathl. Comput. Modelling 27 (3), 33-64 (1998).
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6. J. Mathews and R.L. Walker, Mathematical Methods of Physics, Second Edition, Benjamin, New York, (1970).
7. L. Ederington and W. Guan, Is Implied Volatility An Informationally Efficient and Effective Predictor of Future Volatility?, U. Oklahoma, Norman, OK, (1998).
8. G. Bakshi, C. Cao and Z. Chen, Pricing and Hedging Long-term Options, Pennsylvania State U., University Park, PA, (1998).
9. L. Ingber, Some Applications of Statistical Mechanics of Financial Markets, LIR-98-1-SASMFM, Lester Ingber Research, Chicago, IL, (1998).
10. Federal Reserve Bank, Instruments of the Money Markets, (Edited by T.M. Cook and R.K. LaRoche), Seventh edition, Federal Reserve Bank of Richmond, Richmond, VA, (1993).
11. L. Ingber, Adaptive simulated annealing (ASA), Global Optimization C-code, Lester Ingber Research, Chicago, IL, (1993).