Category Archives: Research

14 Pages · Posted: Mar 2010 · Citations: 18 | We extend the benchmark nonlinear deterministic volatility regression functions of Dumas et al. (1998) to provide a semi-parametric method where an enhancement of the implied parameter values is used in the parametric option pricing models.

We explore the pricing performance of Support Vector Regression for pricing S&P 500 index call options.

13 Pages · Posted: Apr 2008 · Citations: 10 | Pricing and trading practices in the Athens Derivatives Exchange, a newly established derivatives market, result in significant futures arbitrage profit opportunities for low-cost traders.

19 Pages · Posted: Mar 2008 · Citations: 43 | We compare the ability of the parametric Black and Scholes, Corrado and Su models, and Artificial Neural Networks to price European call options on the S&P 500 using daily data for the period January 1998 to August 2001.