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。
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 hybrid forecasting model is better than the conventional Black-Scholes model.
出处
《管理工程学报》
CSSCI
北大核心
2009年第1期59-62,87,共5页
Journal of Industrial Engineering and Engineering Management
基金
国家自然科学基金资助项目(70501013)