Abstract
This study aims to apply a new hybrid approach to estimate volatility in neural network option-pricing model. The analytical results also indicate that the new hybrid method can be used to forecast the prices of derivative securities. Owing to combines the grey forecasting model with the GARCH to improve the estimated ability, the empirical evidence shows that the new hybrid GARCH model outperforms the other approaches in the neural network option-pricing model.
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Wang, YH. Using neural network to forecast stock index option price: a new hybrid GARCH approach. Qual Quant 43, 833–843 (2009). https://doi.org/10.1007/s11135-008-9176-9
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DOI: https://doi.org/10.1007/s11135-008-9176-9