Applying option Greeks to directional forecasting of implied volatility in the options market: An intelligent approach.
Jae Joon AhnDong Ha KimKyong Joo OhTae Yoon KimPublished in: Expert Syst. Appl. (2012)
Keyphrases
- option pricing
- stock price
- exchange rate
- black scholes
- stock market
- financial time series
- stock exchange
- technical indicators
- financial markets
- non stationary
- black scholes model
- historical data
- financial data
- stock index
- news articles
- chinese stock market
- foreign exchange
- stock market data
- stock returns
- real option
- short term
- stock data
- financial crisis
- stock index futures
- investment strategies
- long term
- turning points
- neural network