The nature of statistical learning theory
The nature of statistical learning theory
An introduction to support Vector Machines: and other kernel-based learning methods
An introduction to support Vector Machines: and other kernel-based learning methods
Network Performance Assessment for Neurofuzzy Data Modelling
IDA '97 Proceedings of the Second International Symposium on Advances in Intelligent Data Analysis, Reasoning about Data
Selecting Bankruptcy Predictors Using a Support Vector Machine Approach
IJCNN '00 Proceedings of the IEEE-INNS-ENNS International Joint Conference on Neural Networks (IJCNN'00)-Volume 6 - Volume 6
A tutorial on support vector regression
Statistics and Computing
Comparing stochastic volatility models through Monte Carlo simulations
Computational Statistics & Data Analysis
Decision support for foreign investment strategy under hybrid uncertainty
Expert Systems with Applications: An International Journal
Expert Systems with Applications: An International Journal
| Hi-index | 12.05 |
This paper presents an efficient currency option pricing model based on support vector regression (SVR). This model focuses on selection of input variables of SVR. We apply stochastic volatility model with jumps to SVR in order to account for sudden big changes in exchange rate volatility. We use forward exchange rate as the input variable of SVR, since forward exchange rate takes interest rates of a basket of currencies into account. Therefore, the inputs of SVR will include moneyness (spot rate/strike price), forward exchange rate, volatility of the spot rate, domestic risk-free simple interest rate, and the time to maturity. Extensive experimental studies demonstrate the ability of new model to improve forecast accuracy.