چکیده مقاله
The classical Black Scholes equation is one of the most important mathematical models in option pricing theory But this model is far from market realities and cannot show the inverse relationship between the stock price and its volatility in the market This paper investigates a European put option price based on the constant elasticity of variance model This model does not have a closed form solution Hence, we numerically valuate the European option price by using a least squares support vector regression based on Hermite polynomials for solving the generalized Black Scholes equation arising in the financial market
کلیدواژهها
Option prices Black-Scholes model Least squares support vector regression Black Scholes model Constant elasticity of variance model
نویسندگان
Maryam Rezaei
Department of Theoretical Economics Faculty of Economics, Allameh Tabatabai University Tehran, Iran
شیوه ارجاع
Rezaei, Maryam,1401,European Option Pricing under the Constant Elasticity of Variance Model by Using the Least Squares Support Vector Regression Approach,The 13th International Conference on New Researches in Management, Economics, Accounting and Banking
ارائهشده در
مجموعه مقالات سیزدهمین کنفرانس بین المللی پژوهش های نوین در مدیریت، اقتصاد، حسابداری و بانکداری19 اسفند 1401