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service:techmag:201903_034:11 [2019/07/09 08:58]
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service:techmag:201903_034:11 [2019/07/10 01:43] (当前版本)
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   **Abstract:​** This study provides ideas and empirical basis for volatility surface localization modeling. On the basis of studying the data characteristics of soybean meal option and the applicability of volatility surface models based on linear polynomials. In this article, we changed Dumas Linear Polynomial model, by enhancing the power of polynomial of parameter τ, to obtain several models. And based on the market data, we tested these models with different perspectives and the consequences are effective. From the result of the experiments,​ we developed that as the power of polynomial of parameter τ equaled two, the algorithm presented better ranging from fitness to prediction, which is adapted to establish the model of soybean meal options with intraday quotation.\\   **Abstract:​** This study provides ideas and empirical basis for volatility surface localization modeling. On the basis of studying the data characteristics of soybean meal option and the applicability of volatility surface models based on linear polynomials. In this article, we changed Dumas Linear Polynomial model, by enhancing the power of polynomial of parameter τ, to obtain several models. And based on the market data, we tested these models with different perspectives and the consequences are effective. From the result of the experiments,​ we developed that as the power of polynomial of parameter τ equaled two, the algorithm presented better ranging from fitness to prediction, which is adapted to establish the model of soybean meal options with intraday quotation.\\
   **Key Words:** Commodity option; Option Theory Pricing; implied volatility surface; Linear Polynomial;​\\   **Key Words:** Commodity option; Option Theory Pricing; implied volatility surface; Linear Polynomial;​\\
-  **作者简介:**周宏成,大连飞创信息技术有限公司员工。\\ 
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service/techmag/201903_034/11.txt · 最后更改: 2019/07/10 01:43 由 -