Optimal forecasting of option prices using particle filters and neural networks

DOI10.1080/02522667.2011.10700056zbMath1218.91171OpenAlexW2082138472MaRDI QIDQ3020606

Linying Huang, Shian-Chang Huang

Publication date: 4 August 2011

Published in: Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL: http://www.connectjournals.com/file_html_pdf/1025602H_01_JIOS_T05_32-2_pp255-276a.pdf

zbMATH Keywords

neural networkextended Kalman filterparticle filteronline forecast

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Neural nets and related approaches to inference from stochastic processes (62M45)

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Cites Work

• Time series forecasting using a hybrid ARIMA and neural network model
• The Pricing of Options and Corporate Liabilities
• Review of guidelines for the use of combined forecasts
• Sequential Monte Carlo Methods in Practice
• Neural Network Models for Time Series Forecasts

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