Using neural networks to forecast the S & P 100 implied volatility

[1]  R. Engle.  Statistical Models for Financial Volatility , 1993 .

[2]  M. Wohar,et al.  Implied Volatility in Options Markets and Conditional Heteroscedasticity in Stock Markets , 1992 .

[3]  E. Mine Cinar,et al.  Neural Networks: A New Tool for Predicting Thrift Failures , 1992 .

[4]  Walter N. Torous,et al.  The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns , 1991 .

[5]  David A. Dubofsky.  Volatility increases Subsequent to NYSE and AMEX Stock Splits , 1991 .

[6]  Scott C. Linn,et al.  An Examination of Stock Market Return Volatility During Overnight and Intraday Periods , 1990 .

[7]  Joseph E. Finnerty,et al.  Security Analysis and Portfolio Management , 1990 .

[8]  Jirí Benes,et al.  On neural networks , 1990, Kybernetika.

[9]  L. J. Merville,et al.  Stock-price volatility, mean-reverting diffusion, and noise , 1989 .

[10]  Kuldeep Shastri,et al.  Bid-ask spreads and volatility estimates: The implications for option pricing , 1989 .

[11]  R. Baillie,et al.  MODELING COMMODITY PRICE DISTRIBUTIONS AND ESTIMATING THE OPTIMAL FUTURES HEDGE , 1989 .

[12]  Soumitra Dutta,et al.  Bond rating: A non-conservative application of neural networks , 1988 .

[13]  S. Ghosh,et al.  An application of a multiple neural network learning system to emulation of mortgage underwriting judgements , 1988, IEEE 1988 International Conference on Neural Networks.

[14]  Alan G. White,et al.  The Pricing of Options on Assets with Stochastic Volatilities , 1987 .

[15]  William A. Brock,et al.  Stochastic methods in economics and finance , 1982 .

[16]  R. C. Merton,et al.  On Estimating the Expected Return on the Market: An Exploratory Investigation , 1980 .

[17]  D. E. Fischer,et al.  Security Analysis and Portfolio Management , 1975 .

[18]  F. Black,et al.  The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.