Narrow search
Showing 1 - 10 of 6,037
Cover Image
Nowcasting networks
Chataigner, Marc; Crépey, Stéphane; Pu, Jiang - In: The journal of computational finance 24 (2020) 3, pp. 1-39
Persistent link: https://www.econbiz.de/10012543628
Cover Image
Prognosemodelle und Handelsansätze für Implizite Volatilitäten
Sachtler, Michael - 2004
Persistent link: https://www.econbiz.de/10002392690
Cover Image
Physics-informed convolutional transformer for predicting volatility surface
Kim, Soohan; Yun, Seok-Bae; Bae, Hyeong-Ohk; Lee, Muhyun; … - In: Quantitative finance 24 (2024) 2, pp. 203-220
Persistent link: https://www.econbiz.de/10014551964
Cover Image
Option pricing with neural networks vs. Black-Scholes under different volatility forecasting approaches for BIST 30 index options
İltüzer, Zeynep - In: Borsa Istanbul Review 22 (2022) 4, pp. 725-742
) index call and put options with different volatility forecasting approaches. Since the volatility is the key parameter in … pricing options, GARCH (Generalized Autoregressive Conditional Heteroskedasticity), implied volatility, historical volatility …, and implied volatility index (VBI) are used to determine the best volatility approach for pricing options according to …
Persistent link: https://www.econbiz.de/10013334825
Cover Image
Real-time pricing of options on currency futures with artificial neural networks
Spreckelsen, Christian von; Mettenheim, Hans-Jörg von; … - In: Journal of forecasting 33 (2014) 6, pp. 419-432
Persistent link: https://www.econbiz.de/10010425541
Cover Image
Using machine learning to predict realized variance
Carr, Peter; Wu, Liuren; Zhang, Zhibai - In: Journal of investment management : JOIM 18 (2020) 2, pp. 57-72
Persistent link: https://www.econbiz.de/10012588965
Cover Image
Implied volatility forecast and option trading strategy
Liu, Dehong; Liang, Yucong; Zhang, Lili; Lung, Peter P.; … - In: International review of economics & finance : IREF 71 (2021), pp. 943-954
Persistent link: https://www.econbiz.de/10012630807
Cover Image
Multistep forecast of the implied volatility surface using deep learning
Medvedev, Nikita; Wang, Zhiguang - In: The journal of futures markets 42 (2022) 4, pp. 645-667
Persistent link: https://www.econbiz.de/10013187579
Cover Image
Assessing the quality of volatility estimators via option pricing
Sanfelici, Simona; Uboldi, Adamo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 2, pp. 103-124
Persistent link: https://www.econbiz.de/10010347332
Cover Image
Assessing the performance of symmetric and asymmetric implied volatility functions
Andreou, Panayiotis C.; Charalambous, Chris; … - In: Review of quantitative finance and accounting 42 (2014) 3, pp. 373-397
Persistent link: https://www.econbiz.de/10010391631