Option pricing models based on wavelet neural network

Dongnan Daxue Xuebao (Ziran Kexue Ban)/Journal of Southeast University (Natural Science Edition)

Volumn 37, Issue 4, 2007, Pages 716-720

  Zhang, Hongyan ^a   Lin, Hui ^b  

^a SOUTHEAST UNIVERSITY   (China)

^b NANJING UNIVERSITY   (China)

Author keywords

Black Scholes model; Implied volatility; Option pricing; Wavelet neural network

Indexed keywords

COSTS; FORECASTING; MARKETING; MATHEMATICAL MODELS; NEURAL NETWORKS; WAVELET TRANSFORMS;

BLACK SCHOLES MODELS; EUROPEAN OPTION PRICE; HANG SENG INDEX; IMPLIED VOLATILITY; MONEYNESS; OPTION MARKETS; OPTION PARTITION; OPTION PRICING; WAVELET NEURAL NETWORKS;

INVESTMENTS;

EID: 34547994056     PISSN: 10010505     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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