Predicting a distribution of implied volatilities for option pricing.
Seung-Ho YangJaewook LeePublished in: Expert Syst. Appl. (2011)
Keyphrases
- option pricing
- stock price
- black scholes
- stock exchange
- decision analysis
- long term
- black scholes model
- capital budgeting
- stock market
- probability distribution
- news articles
- non stationary
- multi criteria
- financial markets
- financial data
- financial time series
- random variables
- real option
- domain knowledge
- knowledge base