Downloads: 111 | Views: 233
Research Paper | Financial Engineering | Ukraine | Volume 4 Issue 7, July 2015 | Popularity: 6.6 / 10
Reconstruction of Attractors for Options Implied Volatility with Using Fuzzy Clustering Method
Sergiy Sylantyev
Abstract: On the bases of dynamic system theory and fuzzy clustering methods for attractors of options implied volatility on market indexes S & P 500, NASDAQ 100, S & P 100 was researched. Results of researches stay that entropy of implied volatility fuzzy clustering equal from 0.6477 to 0.7986. Implied volatility attractor structure for market indexes are presented with two main components with rest dispersion in interval from 88.82 % to 57.59 %. On the bases of reconstruction of options attractor implied volatility method the prognoses method for dynamic of options implied volatility was formulated.
Keywords: Volatility, implied volatility, fuzzy cluster, option, market index
Edition: Volume 4 Issue 7, July 2015
Pages: 434 - 438
Make Sure to Disable the Pop-Up Blocker of Web Browser
Similar Articles
Downloads: 2 | Weekly Hits: ⮙1 | Monthly Hits: ⮙1
Research Paper, Financial Engineering, India, Volume 13 Issue 4, April 2024
Pages: 1776 - 1790Effect of Varying Underlying Data of Exotic Options (Asian and Lookback) Using Monte Carlo Scheme
Aumkar Wagle
Downloads: 5 | Weekly Hits: ⮙1 | Monthly Hits: ⮙1
Analysis Study Research Paper, Financial Engineering, India, Volume 13 Issue 3, March 2024
Pages: 1906 - 1912AI in Treasury Management: Enhancing Bank's Treasury System for Budget Execution in the Medium Term
Ardhendu Sekhar Nanda
Downloads: 6 | Weekly Hits: ⮙2 | Monthly Hits: ⮙2
Review Papers, Financial Engineering, United States of America, Volume 13 Issue 2, February 2024
Pages: 1590 - 1594Blockchain Revolution in Bond Markets: Enhancing Transparency and Efficiency
Dharika Kapil
Downloads: 96 | Weekly Hits: ⮙1 | Monthly Hits: ⮙1
Research Paper, Financial Engineering, India, Volume 4 Issue 11, November 2015
Pages: 2544 - 2550Forecasting of Indian Stock Market Index S&P CNX Nifty 50 Using Artificial Intelligence
Dr. Jay Desai, Nisarg A Joshi
Downloads: 106
Research Paper, Financial Engineering, Switzerland, Volume 3 Issue 11, November 2014
Pages: 1456 - 1472On Single and Multiple Currency Multifactor LIBOR Market Models: Application to Currency Options
Werner Hrlimann