Empirical of the Taiwan stock index option price forecasting model - applied artificial neural network
This work presents a novel neural network model for forecasting option prices using past volatilities and other options market factors. Out of different approaches to estimating volatility in the option pricing model, this study uses backpropagation neural network to forecast prices for Taiwanese stock index options. The ability to develop accurate forecasts of grey prediction volatility enables practitioners to establish an appropriate hedging strategy at in-the-money option.
No Reference information available - sign in for access.
No Citation information available - sign in for access.
No Supplementary Data.
No Article Media
Document Type: Research Article
Affiliations: Graduate School of Management, Ming Chung University, Taipei 11103, Taiwan, R.O.C.
Publication date: 01 June 2009