Using support vector machines for time series prediction
Advances in kernel methods
Risk-neutral density extraction from option prices: improved pricing with mixture density networks
IEEE Transactions on Neural Networks
IEEE Transactions on Neural Networks
Support vector machine with adaptive parameters in financial time series forecasting
IEEE Transactions on Neural Networks
Improving option pricing with the product constrained hybrid neural network
IEEE Transactions on Neural Networks
Learning to predict the cost-per-click for your ad words
Proceedings of the 21st ACM international conference on Information and knowledge management
Hi-index | 0.00 |
We explore the pricing performance of Support Vector Regression for pricing S&P 500 index call options. Support Vector Regression is a novel nonparametric methodology that has been developed in the context of statistical learning theory, and until now it has not been widely used in financial econometric applications. This new method is compared with the Black and Scholes (1973) option pricing model, using standard implied parameters and parameters derived via the Deterministic Volatility Functions approach. The empirical analysis has shown promising results for the Support Vector Regression models.