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NeuroCOLT |
Neural Networks and Computational Learning Theory |
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NeuroCOLT Technical Report NC-TR-95-022 Option price forecasting using artificial neural networks A.
Fiordaliso Abstract (Paper is in French) The problem considered here, in forecasting the price of a call option on a short term interest rate future, namely the 3 months Eurodollar (ED3). The aim of our research is to build up Artificial Neural Network models (ANN) that could be integreated in a fuzzy expert system to dynamically manage an option portfolio. We detail some problems and techniques related to the set up of ANN models for univariate and multivariate previsions. We compare our results with some other forecasting techniques. Download Compressed Postscript
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