Identificador persistente para citar o vincular este elemento:
http://hdl.handle.net/10553/72519
| Título: | A financial option pricing model based on learning algorithms | Autores/as: | González Martel, Cristian García Artiles,María Dolores Fernández Rodríguez, Fernando |
Clasificación UNESCO: | 530202 Modelos econométricos | Palabras clave: | Hedging Derivative Securities Neural-Network Valuation Option Pricing Black-Scholes, et al. |
Fecha de publicación: | 2009 | Publicación seriada: | Aebd '09: Proceedings Of The World Multiconference On Applied Economics, Business And Development | Conferencia: | World Multiconference on Applied Economics, Business and Development (AEBD '09) | Resumen: | The Black-Scholes option pricing model provides theoretical values for the put and call options when do not pay dividends. In this work we compare these theoretical values with the obtained ones by a neural network that is applied to the option pricing market on the Ibex-35 index. Our result shows that the neural network is superior by the Black-Scholes model analyzing the kindness of the adjustment for the ME (mean of the option price errors) and RMSE (root mean square error). | URI: | http://hdl.handle.net/10553/72519 | ISBN: | 978-960-474-091-8 | ISSN: | 1790-5109 | Fuente: | Aebd '09: Proceedings Of The World Multiconference On Applied Economics, Business And Development[ISSN 1790-5109], p. 153-157, (2009) |
| Colección: | Actas de congresos |
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