Pricing currency options with support vector regression and stochastic volatility model with jumps

Expert Systems with Applications

Volumn 38, Issue 1, 2011, Pages 1-7

  Wang, Ping ^a  

^a SHANGHAI LIXIN UNIVERSITY OF ACCOUNTING AND FINANCE   (China)

Author keywords

Currency options pricing; Stochastic volatility model with jumps; Support vector regression

Indexed keywords

BASKET OF CURRENCIES; BIG CHANGES; EXCHANGE RATES; EXPERIMENTAL STUDIES; FORECAST ACCURACY; INPUT VARIABLES; INTEREST RATES; NEW MODEL; OPTION PRICING MODELS; OPTIONS PRICING; STOCHASTIC VOLATILITY MODEL; STOCHASTIC VOLATILITY MODEL WITH JUMPS; SUPPORT VECTOR REGRESSION; SUPPORT VECTOR REGRESSIONS;

COSTS; REGRESSION ANALYSIS; STOCHASTIC MODELS; STOCHASTIC SYSTEMS; VECTORS;

ECONOMICS;

EID: 77956613198     PISSN: 09574174     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eswa.2010.05.037     Document Type: Article

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