Multiple kernel support vector regression for pricing nifty option
نویسندگان
چکیده
منابع مشابه
Multiple kernel support vector regression for pricing nifty option
The goal of present experiments is to investigate the use of multiple kernel learning as a tool for pricing options in the context of Indian stock market for Nifty index options. In this paper, fair price of an option is predicted by Multiple Kernel Support Vector Regression (MKLSVR) using linear combinations of kernels and Single Kernel Support Vector Regression (SKSVR). Prices of option highl...
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The purpose of present study is to investigate a nonparametric model that improves accuracy of option prices found by previous models. In this study option prices are calculated using multiple kernel Support Vector Regression with different norm values and their results are compared. L1norm multiple kernel learning Support Vector Regression (MKLSVR) has been successfully applied to option price...
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ژورنال
عنوان ژورنال: International Journal of Applied Mathematical Research
سال: 2015
ISSN: 2227-4324
DOI: 10.14419/ijamr.v4i4.5023