Using neural network to forecast stock index option price: A new hybrid GARCH approach

Quality and Quantity

Volumn 43, Issue 5, 2009, Pages 833-843

  Wang, Yi Hsien ^a  

^a YUANPEI UNIVERSITY   (Taiwan)

Author keywords

GARCH; Grey forecasting model; Option pricing model; Volatility

Indexed keywords

EID: 70349257995     PISSN: 00335177     EISSN: 15737845     Source Type: Journal    
DOI: 10.1007/s11135-008-9176-9     Document Type: Article

References (28)

1. Amilon H.: A neural network versus Black-Scholes: a comparison of pricing and hedging performances. J. Forecast. 22, 317-335 (2003)
2. Bates D.: Jumps and stochastic volatility: Exchange rate process implicit in Deutsche mark options. Rev. Financ. Stud. 9, 69-107 (1996)
3. Binner J.M., Bissoondeeal R.K., Elger T., Gazely A.M., Mullineux A.W.: A comparison of linear forecasting models and neural networks: An application to Euro inflation and Euro Divisia. Appl. Econ. 37, 665-680 (2005)
4. Black F., Scholes M.: The pricing of options and corporate liabilities. J. Polit. Econ. 81, 637-659 (1973)
5. Bollerslev T.: Generalized autoregressive conditional heteroskedasticity. J. Econom. 31, 307-327 (1986)
6. Chung C.F., Hung M.W.: A general model for short-term interest rates. Appl. Econ. 32, 111-121 (2000)
7. Deng J.L.: Control problem of grey system. Syst. Control Lett. 1, 288-294 (1982)
8. Duan J.C.: The GARCH option pricing model. Math. Finance 5, 13-32 (1995)
9. Duan J.C., Zhang H.: Pricing Hang Seng index options around the Asian financial crisis-a GARCH Approach. J. Banking Finance 25, 1989-2014 (2001)
10. Engle R.F.: Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50, 987-1007 (1982)
11. Heston S.L.: A closed-form solution for options with stochastic volatility with applications to bond and currency options. Rev. Financ. Stud. 6, 327-343 (1993)
12. Heston S.L., Nandi S.: A closed-form GARCH option valuation model. Rev. Financ. Stud. 13, 585-625 (2000)
13. Hull J., White A.: The pricing of options on assets with stochastic volatilities. J. Finance 42, 281-300 (1987)
14. Hutchinson J.M., Lo A.W., Poggio T.: A nonparametric approach to pricing and hedging derivative securities via learning networks. J. Finance 49, 851-859 (1994)
15. Kim I.J., Kim S.: Empirical comparison of alternative stochastic volatility option pricing models: Evidence from Korean KOSPI 200 index options market. Pacific-Basin Finance J. 12, 117-142 (2004)
16. Lin C.T., Yeh H.Y.: The valuation of Taiwan stock index option prices-comparison of performances between Black-Scholes and neural network model. J. Stat. Manage. Syst. 8, 355-367 (2005)
17. Maarit P., Häkkinen H.: Neural network used to analyze multiple perspectives concerning computer-based learning environments. Qual. Quan. 34, 237-258 (2000)
18. Malliaris M., Salchenberger L.: Using neural networks to forecast the S&P 100 implied volatility. Neurocomputing 10, 183-195 (1996)
19. McMillan D.G., Speight A.E.H.: Daily volatility forecast: Reassessing the performance of GARCH models. J. Forecasting 23, 449-460 (2004)
20. Meraviglia C.: Models of representation of social mobility and inequality systems. A neural network approach. Qual. Quan. 30, 231-252 (1996)
21. Paik H.: Television viewing and high school mathematics achievement: A neural network analysis. Qual. Quan. 34, 1-15 (2000)
22. Qi M.: Nonlinear predictability of stock returns using financial and economic variables. J. Bus. Econ. Stat. 17, 419-429 (1999)
23. Sabbatini M., Linton O.: A GARCH model of the implied volatility of the Swiss market index from option prices. Int. J. Forecasting 14, 199-213 (1998)
24. Scott L.: Option pricing when the variance changes randomly: theory, estimators and applications. J. Financ. Quant. Anal. 22, 419-438 (1987)
25. Szakmary A., Ors E., Kim J.K., Davidson III W.N.: The predictive power of implied volatility: Evidence from 35 futures markets. J. Banking Finance 11, 2151-2175 (2003)
26. Watanabe T.: A non-linear filtering approach to stochastic volatility models with an application to daily stock returns. J. Appl. Econom. 14, 101-121 (1999)
27. Yao J., Li Y., Tan C.L.: Option price forecasting using neural networks. Omega 28, 455-466 (2000)
28. Zhang G.P., Berardi V.L.: Time series forecasting with neural network ensembles: An application for exchange rate prediction. J. Oper. Res. Soc. 52, 652-664 (2001)