Parametric models and non-parametric machine learning models for predicting option prices: Empirical comparison study over KOSPI 200 Index options

Expert Systems with Applications

Volumn 41, Issue 11, 2014, Pages 5227-5237

  Park, Hyejin ^a   Kim, Namhyoung ^b   Lee, Jaewook ^c  

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

^b Gachon University College of Medicine   (South Korea)

^c Seoul National University   (South Korea)

Author keywords

Artificial neural network; Black Scholes model; Gaussian processes; Heston model; Merton model; Option pricing; Support vector machines

Indexed keywords

ECONOMICS; FORECASTING; INVESTMENTS; MODELS; NEURAL NETWORKS; SUPPORT VECTOR MACHINES;

BLACK-SCHOLES MODEL; GAUSSIAN PROCESSES; HESTON MODEL; MERTON MODEL; OPTION PRICING;

COSTS;

EID: 84898418230     PISSN: 09574174     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eswa.2014.01.032     Document Type: Article

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