{"title":"期权定价中的聚类与分类","authors":"N. Gradojevic, D. Kukolj, R. Gencay","doi":"10.15353/rea.v3i2.1458","DOIUrl":null,"url":null,"abstract":"This paper reviews the recent option pricing literature and investigates how clustering and classification can assist option pricing models. Specifically, we consider non-parametric modular neural network (MNN) models to price the S&P-500 European call options. The focus is on decomposing and classifying options data into a number of sub-models across moneyness and maturity ranges that are processed individually. The fuzzy learning vector quantization (FLVQ) algorithm we propose generates decision regions (i.e., option classes) divided by ‘intelligent’ classification boundaries. Such an approach improves generalization properties of the MNN model and thereby increases its pricing accuracy.","PeriodicalId":42350,"journal":{"name":"Review of Economic Analysis","volume":null,"pages":null},"PeriodicalIF":0.7000,"publicationDate":"2011-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":"{\"title\":\"Clustering and Classification in Option Pricing\",\"authors\":\"N. Gradojevic, D. Kukolj, R. Gencay\",\"doi\":\"10.15353/rea.v3i2.1458\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper reviews the recent option pricing literature and investigates how clustering and classification can assist option pricing models. Specifically, we consider non-parametric modular neural network (MNN) models to price the S&P-500 European call options. The focus is on decomposing and classifying options data into a number of sub-models across moneyness and maturity ranges that are processed individually. The fuzzy learning vector quantization (FLVQ) algorithm we propose generates decision regions (i.e., option classes) divided by ‘intelligent’ classification boundaries. Such an approach improves generalization properties of the MNN model and thereby increases its pricing accuracy.\",\"PeriodicalId\":42350,\"journal\":{\"name\":\"Review of Economic Analysis\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.7000,\"publicationDate\":\"2011-09-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"5\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Review of Economic Analysis\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.15353/rea.v3i2.1458\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Review of Economic Analysis","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.15353/rea.v3i2.1458","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
This paper reviews the recent option pricing literature and investigates how clustering and classification can assist option pricing models. Specifically, we consider non-parametric modular neural network (MNN) models to price the S&P-500 European call options. The focus is on decomposing and classifying options data into a number of sub-models across moneyness and maturity ranges that are processed individually. The fuzzy learning vector quantization (FLVQ) algorithm we propose generates decision regions (i.e., option classes) divided by ‘intelligent’ classification boundaries. Such an approach improves generalization properties of the MNN model and thereby increases its pricing accuracy.