Filters
Clear AllLoading
description Publicationkeyboard_double_arrow_right Article 2011University of Waterloo SSHRC, MESTD | Development of data reduc..., NSERCSSHRC ,MESTD| Development of data reduction engine based on computational intelligence ,NSERCAuthors: Nikola Gradojevic; Dragan Kukolj; Ramazan Gencay;Nikola Gradojevic; Dragan Kukolj; Ramazan Gencay;This paper reviews the recent option pricing literature and investigates how clustering and classification can assist option pricing models. Specifically, we consider non-parametric modular neural network (MNN) models to price the S&P-500 European call options. The focus is on decomposing and classifying options data into a number of sub-models across moneyness and maturity ranges that are processed individually. The fuzzy learning vector quantization (FLVQ) algorithm we propose generates decision regions (i.e., option classes) divided by ‘intelligent’ classification boundaries. Such an approach improves generalization properties of the MNN model and thereby increases its pricing accuracy.
add ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.15353/rea.v3i2.1458&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eu2 citations 2 popularity Average influence Average impulse Average Powered by BIP!more_vert add ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.15353/rea.v3i2.1458&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eudescription Publicationkeyboard_double_arrow_right Conference object 2012IEEE SSHRC, MESTD | Development of data reduc...SSHRC ,MESTD| Development of data reduction engine based on computational intelligenceAuthors: Dragan Kukolj; Nikola Gradojevic; Camillo Lento;Dragan Kukolj; Nikola Gradojevic; Camillo Lento;Financial option prices have experienced excessive volatility in response to the recent economic and financial crisis. During the crisis periods, financial markets are, in general, subject to an abrupt regime shift which imposes a significant challenge to option pricing models. In this context, swiftly evolving markets and institutions require valuation models that are capable of recognizing and adapting to such changes. Both parametric and non-parametric pricing models have shown poor forecast ability for options traded in late 1987 and 2008. Surprisingly, the pricing inaccuracy was more pronounced for non-parametric models than for parametric models. To address this problem, we propose a novel hybrid methodology — modular neural network-fuzzy learning vector quantization (MNN-FLVQ) model — that uses the Kohonen unsupervised learning and fuzzy clustering algorithms to classify the S&P 500 stock market index options, and thereby detect a regime shift. In our empirical application, the results for the 2008 financial crisis demonstrate that the MNN-FLVQ model is superior to the competing methods in regards to option pricing during regime shifts.
Research Papers in E... arrow_drop_down Research Papers in EconomicsPreprint . Conference object . 2012add ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.1109/cifer.2012.6327777&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eu2 citations 2 popularity Average influence Average impulse Average Powered by BIP!more_vert Research Papers in E... arrow_drop_down Research Papers in EconomicsPreprint . Conference object . 2012add ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.1109/cifer.2012.6327777&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eu
Loading
description Publicationkeyboard_double_arrow_right Article 2011University of Waterloo SSHRC, MESTD | Development of data reduc..., NSERCSSHRC ,MESTD| Development of data reduction engine based on computational intelligence ,NSERCAuthors: Nikola Gradojevic; Dragan Kukolj; Ramazan Gencay;Nikola Gradojevic; Dragan Kukolj; Ramazan Gencay;This paper reviews the recent option pricing literature and investigates how clustering and classification can assist option pricing models. Specifically, we consider non-parametric modular neural network (MNN) models to price the S&P-500 European call options. The focus is on decomposing and classifying options data into a number of sub-models across moneyness and maturity ranges that are processed individually. The fuzzy learning vector quantization (FLVQ) algorithm we propose generates decision regions (i.e., option classes) divided by ‘intelligent’ classification boundaries. Such an approach improves generalization properties of the MNN model and thereby increases its pricing accuracy.
add ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.15353/rea.v3i2.1458&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eu2 citations 2 popularity Average influence Average impulse Average Powered by BIP!more_vert add ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.15353/rea.v3i2.1458&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eudescription Publicationkeyboard_double_arrow_right Conference object 2012IEEE SSHRC, MESTD | Development of data reduc...SSHRC ,MESTD| Development of data reduction engine based on computational intelligenceAuthors: Dragan Kukolj; Nikola Gradojevic; Camillo Lento;Dragan Kukolj; Nikola Gradojevic; Camillo Lento;Financial option prices have experienced excessive volatility in response to the recent economic and financial crisis. During the crisis periods, financial markets are, in general, subject to an abrupt regime shift which imposes a significant challenge to option pricing models. In this context, swiftly evolving markets and institutions require valuation models that are capable of recognizing and adapting to such changes. Both parametric and non-parametric pricing models have shown poor forecast ability for options traded in late 1987 and 2008. Surprisingly, the pricing inaccuracy was more pronounced for non-parametric models than for parametric models. To address this problem, we propose a novel hybrid methodology — modular neural network-fuzzy learning vector quantization (MNN-FLVQ) model — that uses the Kohonen unsupervised learning and fuzzy clustering algorithms to classify the S&P 500 stock market index options, and thereby detect a regime shift. In our empirical application, the results for the 2008 financial crisis demonstrate that the MNN-FLVQ model is superior to the competing methods in regards to option pricing during regime shifts.
Research Papers in E... arrow_drop_down Research Papers in EconomicsPreprint . Conference object . 2012add ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.1109/cifer.2012.6327777&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eu2 citations 2 popularity Average influence Average impulse Average Powered by BIP!more_vert Research Papers in E... arrow_drop_down Research Papers in EconomicsPreprint . Conference object . 2012add ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.1109/cifer.2012.6327777&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eu