2015•IFIP advances in information and communication technologyOpen access

Computational Intelligence Approach to Capturing the Implied Volatility

Fahed Mostafa, Tharam S. Dillon, Elizabeth Chang

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Key concepts: Implied volatility, Black–Scholes model, Volatility (finance), Volatility smile, Artificial neural network, Valuation of options, Autoregressive conditional heteroskedasticity, Stochastic volatility

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