An Adaptive Neuro-Based Fuzzy Inference System (ANFIS) for the Prediction of Option Price: The Case of the Australian Option Market

Hooman Abdollahi
Additional contact information
Hooman Abdollahi: System Dynamics Group, University of Bergen, Norway

International Journal of Applied Metaheuristic Computing (IJAMC), 2020, vol. 11, issue 2, 99-117

Abstract: Option price prediction has been an important issue in the finance literature within recent years. Affected by numerous factors, option price forecasting remains a challenging problem. In this study, a novel hybrid model for forecasting option price consisting of parametric and non-parametric methods is presented. This method is composed of three stages. First, the conventional option pricing methods such as Binomial Tree, Monte Carlo, and Finite Difference are used to primarily calculate the option prices. Next, the author employs an Adaptive Neuro-Fuzzy Inference System (ANFIS) in which the parameters are trained with particle swarm optimization to minimize the prediction errors associated with parametric methods. To select the best input data for the ANFIS structure, which has high mutual information associated with the future option price, the proposed method uses an entropy approach. Experimental examples with data from the Australian options market demonstrate the effectivity of the proposed hybrid model in enhancing the prediction accuracy compared to another method.

Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://services.igi-global.com/resolvedoi/resolve. ... 018/IJAMC.2020040105 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:igg:jamc00:v:11:y:2020:i:2:p:99-117

Access Statistics for this article

International Journal of Applied Metaheuristic Computing (IJAMC) is currently edited by Peng-Yeng Yin

More articles in International Journal of Applied Metaheuristic Computing (IJAMC) from IGI Global
Bibliographic data for series maintained by Journal Editor ().