Please use this identifier to cite or link to this item:
http://hdl.handle.net/10553/72519
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | González Martel, Cristian | en_US |
| dc.contributor.author | García Artiles,María Dolores | en_US |
| dc.contributor.author | Fernández Rodríguez, Fernando | en_US |
| dc.date.accessioned | 2020-05-18T10:03:02Z | - |
| dc.date.available | 2020-05-18T10:03:02Z | - |
| dc.date.issued | 2009 | en_US |
| dc.identifier.isbn | 978-960-474-091-8 | en_US |
| dc.identifier.issn | 1790-5109 | en_US |
| dc.identifier.other | WoS | - |
| dc.identifier.uri | http://hdl.handle.net/10553/72519 | - |
| dc.description.abstract | 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). | en_US |
| dc.language | eng | en_US |
| dc.relation.ispartof | Aebd '09: Proceedings Of The World Multiconference On Applied Economics, Business And Development | en_US |
| dc.source | Aebd '09: Proceedings Of The World Multiconference On Applied Economics, Business And Development[ISSN 1790-5109], p. 153-157, (2009) | en_US |
| dc.subject | 530202 Modelos econométricos | en_US |
| dc.subject.other | Hedging Derivative Securities | en_US |
| dc.subject.other | Neural-Network | en_US |
| dc.subject.other | Valuation | en_US |
| dc.subject.other | Option Pricing | en_US |
| dc.subject.other | Black-Scholes | en_US |
| dc.subject.other | Neural Networks | en_US |
| dc.subject.other | Hedging | en_US |
| dc.subject.other | Prediction | en_US |
| dc.title | A financial option pricing model based on learning algorithms | en_US |
| dc.type | info:eu-repo/semantics/conferenceObject | en_US |
| dc.type | ConferenceObject | en_US |
| dc.relation.conference | World Multiconference on Applied Economics, Business and Development (AEBD '09) | en_US |
| dc.identifier.isi | 000268848300022 | - |
| dc.description.lastpage | 157 | en_US |
| dc.description.firstpage | 153 | en_US |
| dc.investigacion | Ciencias Sociales y Jurídicas | en_US |
| dc.type2 | Actas de congresos | en_US |
| dc.contributor.daisngid | 575412 | - |
| dc.contributor.daisngid | 12517046 | - |
| dc.contributor.daisngid | 3332110 | - |
| dc.description.numberofpages | 5 | en_US |
| dc.utils.revision | Sí | en_US |
| dc.contributor.wosstandard | WOS:Martel, CG | - |
| dc.contributor.wosstandard | WOS:Artiles, MDG | - |
| dc.contributor.wosstandard | WOS:Rodriguez, FF | - |
| dc.date.coverdate | 2009 | en_US |
| dc.identifier.ulpgc | Sí | es |
| item.fulltext | Sin texto completo | - |
| item.grantfulltext | none | - |
| crisitem.author.dept | GIR Finanzas Cuantitativas y Computacionales | - |
| crisitem.author.dept | Departamento de Métodos Cuantitativos en Economía y Gestión | - |
| crisitem.author.dept | GIR Finanzas Cuantitativas y Computacionales | - |
| crisitem.author.orcid | 0000-0003-1081-0843 | - |
| crisitem.author.orcid | 0000-0002-8808-9286 | - |
| crisitem.author.parentorg | Departamento de Métodos Cuantitativos en Economía y Gestión | - |
| crisitem.author.parentorg | Departamento de Métodos Cuantitativos en Economía y Gestión | - |
| crisitem.author.fullName | González Martel, Cristian | - |
| crisitem.author.fullName | García Artiles,María Dolores | - |
| crisitem.author.fullName | Fernández Rodríguez,Fernando Emilio | - |
| Appears in Collections: | Actas de congresos | |
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