期刊文献+

基于神经网络的波动率对权证价格预测效果比较分析 被引量:1

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摘要 使用BP神经网络建模预测权证的价格,得到隐含波动率预测效果要优于历史波动率,动态历史波动率的预测效果要优于历史波动率,动态隐含波动率预测效果要优于隐含波动率的结论,并且动态的不断调整的隐含波动率能够更加精确的预测期权价格。
出处 《生产力研究》 CSSCI 北大核心 2010年第8期112-113,124,共3页 Productivity Research
基金 四川省金融工程与金融智能重点实验室项目
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  • 1张鸿彦,林辉,姜彩楼.用混合小波网络和遗传算法对期权定价的研究[J].系统工程学报,2010,25(1):43-49. 被引量:7
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