Improved option pricing using artificial neural networks and bootstrap methods.
Int J Neural Syst
; 8(4): 457-71, 1997 Aug.
Article
em En
| MEDLINE
| ID: mdl-9730021
ABSTRACT
A hybrid neural network is used to predict the difference between the conventional option-pricing model and observed intraday option prices for stock index option futures. Confidence intervals derived with bootstrap methods are used in a trading strategy that only allows trades outside the estimated range of spurious model fits to be executed. Whilst hybrid neural network option pricing models can improve predictions they have bias. The hybrid option-pricing bias can be reduced with bootstrap methods. A modified bootstrap predictor is indexed by a parameter that allows the predictor to range from a pure bootstrap predictor, to a hybrid predictor, and finally the bagging predictor. The modified bootstrap predictor outperforms the hybrid and bagging predictors. Greatly improved performance was observed on the boundary of the training set and where only sparse training data exists. Finally, bootstrap bias estimates were studied.
Buscar no Google
Base de dados:
MEDLINE
Assunto principal:
Inteligência Artificial
/
Redes Neurais de Computação
/
Modelos Econômicos
Idioma:
En
Ano de publicação:
1997
Tipo de documento:
Article