Tseng, Chih-Hsiung; Cheng, Sheng-Tzong; Wang, Yi-Hsien; … - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 13, pp. 3192-3200
This investigation integrates a novel hybrid asymmetric volatility approach into an Artificial Neural Networks option-pricing model to upgrade the forecasting ability of the price of derivative securities. The use of the new hybrid asymmetric volatility method can simultaneously decrease the...
