Research on the mixed method of option price forecasting based on support vector machine
- 马列主义－会议论文 
In this study, the authors discuss a mixed method which involves some forecasting techniques like linear technique (ARMA), BS option pricing function, and mixed BRF. These forecasting techniques are combined by support vector machine (SVM) to forecast the option price. This mixed method can avoid disadvantages which the single forecasting techniques have, and be more accurate and stable to forecast the option prices when the maturity is coming. The rationality of the method has been proved by experimental result which is based on the foreign exchange option price data. ? 2011 IEEE.