Evaluating volatility forecasts in option pricing in the context of a simulated options market.
Evdokia XekalakiStavros DegiannakisPublished in: Comput. Stat. Data Anal. (2005)
Keyphrases
- option pricing
- stock price
- black scholes
- historical data
- financial markets
- stock market
- non stationary
- stock exchange
- exchange rate
- news articles
- financial data
- short term
- chinese stock market
- financial time series
- stock returns
- real option
- black scholes model
- decision analysis
- long term
- capital budgeting
- artificial intelligence
- data mining techniques
- objective function
- neural network