NDLI: GenSo-OPATS: a brain-inspired dynamically evolving option pricing model and arbitrage trading system

Content Provider	IEEE Xplore Digital Library
Author	Tung, W.L. Quek, C.
Copyright Year	2003
Description	Author affiliation: Sch. of Comput. Eng., Nanyang Technol. Univ., Singapore, Singapore (Tung, W.L.; Quek, C.)
Abstract	Obtaining the theoretical fair value of an option based on the factors affecting its price is a process called option pricing and commonly known approaches are the Black-Scholes formula and the binomial pricing model. However, these parametric models are generally dependent on the assumptions of continuous-time finance theory and presumed complex and rigid statistical formulations. Nonparametric and computational methods of option pricing, on the other hand, are able to accurately model the pricing formula from historical data but suffer from poor interpretability due to their opaque architectures. Generally, there is no guarantee that the prices derived from these model-free approaches conform to rational pricing. This paper proposes a novel brain-inspired nonparametric model for pricing American-style option on currency futures based on a dynamically evolving semantic memory model named GenSoFNN-TVR(S). Logical reasoning rules governing the pricing decisions can be extracted from the proposed model. Subsequently, the GenSoFNN-TVR(S) based option pricing model is implemented in a mis-priced option arbitrage trading system named GenSo-OPATS, and simulation results demonstrated an encouraging rate of return on investment.
Starting Page	2429
Ending Page	2436
File Size	2992434
Page Count	8
File Format	PDF
ISBN	0780393635
DOI	10.1109/CEC.2005.1554998
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2005-09-02
Publisher Place	UK
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Pricing Brain modeling Parametric statistics Finance Computational intelligence Computer architecture Investments Contracts Security Cost accounting
Content Type	Text
Resource Type	Article

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