Combining Monte Carlo Filters with Support Vector Machines for Option Price Forecasting

DOI10.1007/11908029_63zbMATH Open1162.91378OpenAlexW1506766181MaRDI QIDQ3535503FDOQ3535503

Authors: Shian-Chang Huang, Tung-Kuang Wu 

Publication date: 13 November 2008

Published in: Rough Sets and Current Trends in Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/11908029_63

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Mathematics Subject Classification ID

Monte Carlo methods (65C05) Learning and adaptive systems in artificial intelligence (68T05) Numerical methods (including Monte Carlo methods) (91G60)

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• A novel intelligent option price forecasting and trading system by multiple kernel adaptive filters
• Optimal forecasting of option prices using particle filters and neural networks

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