Yang, Chih-Chung; Leu, Yungho; Lee, Chien-Pang - In: Journal for Economic Forecasting (2014) 2, pp. 115-129
The option price forecasting is still a big challenging problem because the option pricing is determined by many factors. Accordingly, it is difficult to predict option price accurately. To counter this problem, this paper proposes a novel hybrid model to forecast the option price. The proposed...