Predicting a distribution of implied volatilities for option pricing

► Predicted option price ranges by the proposed method take always positive values. ► For the deep OTM or ITM, the CI predicted by the proposed method is tight. ► Near ATM the CI predicted by the proposed method is broad. In this paper, we propose a method that predicts a distribution of the implied...

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Veröffentlicht in:	Expert systems with applications 2011-03, Vol.38 (3), p.1702-1708
Hauptverfasser:	Yang, Seung-Ho, Lee, Jaewook
Format:	Artikel
Sprache:	eng
Schlagworte:	Bayesian analysis Bayesian approaches Black–Scholes model Computer simulation Confidence intervals Expert systems Gaussian Gaussian processes Implied volatility Kernel methods Mathematical models Option pricing Regression Volatility
Online-Zugang:	Volltext
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