Intraday volatility forecasting for option pricing using a neural network approach.
Fernando González MirandaA. Neil BurgessPublished in: CIFEr (1995)
Keyphrases
- option pricing
- stock price
- exchange rate
- neural network
- stock market
- non stationary
- financial time series
- black scholes
- stock exchange
- historical data
- financial data
- news articles
- financial markets
- back propagation
- black scholes model
- neural network model
- capital budgeting
- artificial neural networks
- decision analysis
- garch model
- bp neural network
- fault diagnosis
- fuzzy logic
- control system
- objective function
- knowledge base
- artificial intelligence