Predicting a distribution of implied volatilities for option pricing

Expert Systems with Applications

Volumn 38, Issue 3, 2011, Pages 1702-1708

  Yang, Seung Ho ^a   Lee, Jaewook ^a  

^a Pohang University of Science and Technology (POSTECH)   (South Korea)

Author keywords

Bayesian approaches; Black Scholes model; Gaussian processes; Implied volatility; Kernel methods; Option pricing

Indexed keywords

BAYESIAN APPROACHES; BLACK-SCHOLES MODEL; GAUSSIAN PROCESSES; IMPLIED VOLATILITY; KERNEL METHODS; OPTION PRICING;

COMPUTER SIMULATION; COSTS; DISTRIBUTION FUNCTIONS; ECONOMICS; GAUSSIAN DISTRIBUTION; GAUSSIAN NOISE (ELECTRONIC);

BAYESIAN NETWORKS;

EID: 78049528673     PISSN: 09574174     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eswa.2010.07.095     Document Type: Article

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