1. Ktisis Cyprus University of Technology
  2. Cyprus University of Technology (Research Output)
  3. Δημοσιεύσεις σε συνέδρια /Conference papers or poster or presentation
Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/2597
DC FieldValueLanguage
dc.contributor.authorAndreou, Panayiotis-
dc.contributor.authorCharalambous, Chris-
dc.contributor.authorMartzoukos, Spiros H.-
dc.contributor.otherΑνδρέου, Παναγιώτης-
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.issued2009-
dc.identifier.citation19th International Conference on Artificial Neural Networks, 2009, Limassol, Cyprus.en_US
dc.identifier.urihttps://hdl.handle.net/20.500.14279/2597-
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_US
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_US
dc.typeConference Papersen_US
dc.affiliationCyprus University of Technologyen
dc.identifier.doi10.1007/978-3-642-04274-4_90en_US
dc.dept.handle123456789/54en
cut.common.academicyearemptyen_US
item.fulltextWith Fulltext-
item.cerifentitytypePublications-
item.grantfulltextopen-
item.openairecristypehttp://purl.org/coar/resource_type/c_c94f-
item.openairetypeconferenceObject-
item.languageiso639-1en-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.facultyFaculty of Tourism Management, Hospitality and Entrepreneurship-
crisitem.author.orcid0000-0001-5742-0311-
crisitem.author.parentorgFaculty of Management and Economics-
Appears in Collections:Δημοσιεύσεις σε συνέδρια /Conference papers or poster or presentation
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