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Article information
2009 , Volume 14, ¹ 5, p.102-113
Strijov V.V., Sologub R.A.
An inductive construction of regression models for volatility of the options trading
Volatility of the European-type options depends on their strike and maturity. The authors suppose that volatility of regression models based not only on the expert knowledge, but also on the measured data. A model generation algorithm is proposed. It inductively generates the volatility models of the optimal structure using implied volatility data and expert considerations. The models are shown to satisfy expert assessments.
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Keywords: nonlinear regression, model generation, model selection, analysis of model parameters, stock options, volatility modelling
Author(s):
Strijov V.V.
PhD.
Position: Research Scientist
Address: Russia, Moscow
Phone Office: (495) 135 41 63
E-mail: strijov@ccas.ru
Sologub R.A.
Position: Student
Address: Russia, Moscow
E-mail: roman.sologub@yahoo.com
Bibliography link:
Strijov V.V., Sologub R.A. An inductive construction of regression models for volatility of the options trading // Computational technologies. 2009. V. 14. ¹ 5. P. 102-113
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