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| 应用混合神经网络和遗传算法的期权价格预测模型 | |
| 引用本文： | 张鸿彦,林辉. 应用混合神经网络和遗传算法的期权价格预测模型[J]. 管理工程学报, 2009, 23(1): 59-62,87 |
| 作者姓名： | 张鸿彦 林辉 |
| 作者单位： | 1. 东南大学系统工程研究所,江苏南京,210096 2. 南京大学商学院,江苏南京,210093 |
| 摘 要： | 隐含波动率是指在市场中观察的期权价格所蕴涵的波动率.提出了一种加权的隐含波动率作为混合神经网络的输入变量,建立了混合神经网络和遗传算法相结合的期权价格预测模型,通过遗传算法来优化神经网络的结构和获得隐含波动率的权重.在对香港金融衍生品市场的实证中表明,本文模型在预测结果上要优于传统的Black-Scholes模型. |
| 关 键 词： | 期权定价 混合神经网络 遗传算法 Black-schoks模型 |
Option Price Forecasting Model by Applying Hybrid Neural Network and Genetic Algorithm |
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| ZHANG Hong-yan,LIN Hui. Option Price Forecasting Model by Applying Hybrid Neural Network and Genetic Algorithm[J]. Journal of Industrial Engineering and Engineering Management, 2009, 23(1): 59-62,87 | |
| Authors: | ZHANG Hong-yan LIN Hui |
| Affiliation: | 1.Institute of System Engineering;Southeast University;Nanjing 210096;China;2.Business school;Nanjing University;Nanjing 210093;China |
| Abstract: | Implied volatility is the volatility implied by an option price observed in the market.In this paper,A weighted implied volatility measure is regarded as one input of hybrid neural network.We build a hybrid option price forecasting model applying the hybrid neural network and genetic algorithm.The genetic algorithm is applied to the structure optimization of the hybrid neural network and acquisition of the optimal weight of the implied volatility.Case study on Hong Kong derivative market shows that the hybr... |
| Keywords: | option pricing hybrid neural network genetic algorithm Black-Scholes model |
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