Advanced search
Publication Cover
International Journal of General Systems Volume 36, 2007 - Issue 5
Submit an article Journal homepage
392
Views
18
CrossRef citations to date
0
Altmetric
Original Articles

A hybrid option pricing model using a neural network for estimating volatility

Sunisa Amornwattana Laboratory for Investment and Financial Engineering, Smart Engineering Systems Lab, Department of Engineering Management and Systems Engineering Department, Center for Intelligent Systems, University of Missouri—Rolla, 1870 Miner Circle, Rolla, MO, 65409-0370, USAView further author information
,
David Enke Laboratory for Investment and Financial Engineering, Smart Engineering Systems Lab, Department of Engineering Management and Systems Engineering Department, Center for Intelligent Systems, University of Missouri—Rolla, 1870 Miner Circle, Rolla, MO, 65409-0370, USACorrespondence[email protected]
&
Cihan H. Dagli Laboratory for Investment and Financial Engineering, Smart Engineering Systems Lab, Department of Engineering Management and Systems Engineering Department, Center for Intelligent Systems, University of Missouri—Rolla, 1870 Miner Circle, Rolla, MO, 65409-0370, USAView further author information
Pages 558-573 | Received 20 Jan 2005, Accepted 08 Dec 2006, Published online: 26 Oct 2007

Citations (18)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (2)

M. García-Galicia, A. A. Carsteanu & J. B. Clempner. (2019) Continuous-time mean variance portfolio with transaction costs: a proximal approach involving time penalization. International Journal of General Systems 48:2, pages 91-111.
Read now
Youngmin Kim & David Enke. (2018) A dynamic target volatility strategy for asset allocation using artificial neural networks. The Engineering Economist 63:4, pages 273-290.
Read now

Articles from other publishers (16)

Yevhenii Rudnichenko, Larysa Liubokhynets, Nataliia Havlovska, Tatiana Nazarchuk, Valeriy Harbusiuk & Liudmyla Krymchak. (2023) Implementation Of Neural Network Diagnostics Of Agile Management For Ensuring Economic Security Of The Organization. Implementation Of Neural Network Diagnostics Of Agile Management For Ensuring Economic Security Of The Organization.
Hui Chen, Yuhan Cheng, Yanchu Liu & Ke Tang. (2023) Teaching Economics to the Machines. SSRN Electronic Journal.
Crossref
Saadet Eskiizmirliler, Korhan Günel & Refet Polat. (2020) On the Solution of the Black–Scholes Equation Using Feed-Forward Neural Networks. Computational Economics 58:3, pages 915-941.
Crossref
Saeed Bajalan & Nastaran Bajalan. (2021) Novel ANN Method for Solving Ordinary and Time-Fractional Black–Scholes Equation. Complexity 2021, pages 1-15.
Crossref
Gagan Deep Sharma, Burak Erkut, Mansi Jain, Tuğberk Kaya, Mandeep Mahendru, Mrinalini Srivastava, Raminder Singh Uppal & Sanjeet Singh. (2020) Sailing through the COVID-19 Crisis by Using AI for Financial Market Predictions. Mathematical Problems in Engineering 2020, pages 1-18.
Crossref
Xiao Zhong & David Enke. (2019) Predicting the daily return direction of the stock market using hybrid machine learning algorithms. Financial Innovation 5:1.
Crossref
Xiao Zhong & David Enke. (2017) A comprehensive cluster and classification mining procedure for daily stock market return forecasting. Neurocomputing 267, pages 152-168.
Crossref
Xiao Zhong & David Enke. (2017) Forecasting daily stock market return using dimensionality reduction. Expert Systems with Applications 67, pages 126-139.
Crossref
Wen-Chyuan Chiang, David Enke, Tong Wu & Renzhong Wang. (2016) An adaptive stock index trading decision support system. Expert Systems with Applications 59, pages 195-207.
Crossref
Hani Omar, Van Hai Hoang & Duen-Ren Liu. (2016) A Hybrid Neural Network Model for Sales Forecasting Based on ARIMA and Search Popularity of Article Titles. Computational Intelligence and Neuroscience 2016, pages 1-9.
Crossref
Youngmin Kim & David Enke. (2016) Using Neural Networks to Forecast Volatility for an Asset Allocation Strategy Based on the Target Volatility. Procedia Computer Science 95, pages 281-286.
Crossref
S. Chuanhe, L. Zhongwen & L. Ying. (2013) An Integrated Data Mining Method and its Apllication. Journal of Applied Sciences 13:16, pages 3263-3268.
Crossref
Tshilidzi MarwalaTshilidzi Marwala. 2013. Economic Modeling Using Artificial Intelligence Methods. Economic Modeling Using Artificial Intelligence Methods 83 100 .
Fei Chen & Charles Sutcliffe. (2012) PRICING AND HEDGING SHORT STERLING OPTIONS USING NEURAL NETWORKS. Intelligent Systems in Accounting, Finance and Management 19:2, pages 128-149.
Crossref
Johannes Ruf & Weiguan Wang. (2019) Neural Networks for Option Pricing and Hedging: A Literature Review. SSRN Electronic Journal.
Crossref
Charles M. Sutcliffe & Fei Chen. (2011) Pricing and Hedging Short Sterling Options Using Neural Networks. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.