Please use this identifier to cite or link to this item: https://ktisis.cut.ac.cy/handle/10488/6885
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dc.contributor.authorAndreou, Panayiotisen
dc.contributor.authorCharalambous, Chrisen
dc.contributor.authorMartzoukos, Spiros H.en
dc.contributor.otherΑνδρέου, Παναγιώτηςen
dc.date.accessioned2013-02-08T08:15:44Zen
dc.date.accessioned2013-05-16T08:30:16Z
dc.date.accessioned2015-12-02T11:36:27Z-
dc.date.available2013-02-08T08:15:44Zen
dc.date.available2013-05-16T08:30:16Z
dc.date.available2015-12-02T11:36:27Z-
dc.date.issued2009en
dc.identifier.citation19th International Conference on Artificial Neural Networks, 2009, Limassol, Cyprus.en
dc.identifier.urihttp://ktisis.cut.ac.cy/handle/10488/6885en
dc.identifier.urihttp://ktisis.cut.ac.cy/handle/10488/6885
dc.identifier.urihttp://hdl.handle.net/10488/6885-
dc.description.abstractWe explore the pricing performance of Support Vector Regression for pricing SandP 500 index call options. Support Vector Regression is a novel nonparametric methodology that has been developed in the context of statistical learning theory, and until now it has not been widely used in financial econometric applications. This new method is compared with the Black and Scholes (1973) option pricing model, using standard implied parameters and parameters derived via the Deterministic Volatility Functions approach. The empirical analysis has shown promising results for the Support Vector Regression models.en
dc.formatpdfen
dc.language.isoenen
dc.publisherSpringerLinken
dc.rights© 2009 Springer Berlin Heidelbergen
dc.subjectEconometric modelsen
dc.subjectArtificial neural networksen
dc.subjectVector Research, Incen
dc.subjectRegression analysisen
dc.titleEuropean option pricing by using the support vector regression approachen
dc.typeConference Papersen
dc.affiliationCyprus University of Technologyen
dc.identifier.doi10.1007/978-3-642-04274-4_90en
dc.dept.handle123456789/54en
item.grantfulltextopen-
item.languageiso639-1en-
item.openairetypeconferenceObject-
item.openairecristypehttp://purl.org/coar/resource_type/c_c94f-
item.cerifentitytypePublications-
item.fulltextWith Fulltext-
crisitem.author.deptDepartment of Commerce, Finance and Shipping-
crisitem.author.facultyFaculty of Management and Economics-
crisitem.author.orcid0000-0001-5742-0311-
crisitem.author.parentorgFaculty of Management and Economics-
Appears in Collections:Δημοσιεύσεις σε συνέδρια /Conference papers - poster -presentation
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