Paper Title:
Research about Option’s Risk and Price in China Stock Market Based on Non-Linear HHT Signal Analysis in Matlab
  Abstract

In the paper, we introduce the new signal processing method HHT into the option price. HHT method is used to simulation and computing the volatility of price. And the result can work with BS-models or H-W model. In practice, the result is very good, especially for the option price in the rising market like China. The paper also gives the results based on the traditional methods including GARCH, EGARCH, GJR and so on. The comparison is obvious and HHT is new good choice. The data is from China stock market up to 10/12/2009.

  Info
Periodical
Edited by
Qi Luo
Pages
931-935
DOI
10.4028/www.scientific.net/AMM.20-23.931
Citation
Z. Ning, "Research about Option’s Risk and Price in China Stock Market Based on Non-Linear HHT Signal Analysis in Matlab", Applied Mechanics and Materials, Vols. 20-23, pp. 931-935, 2010
Online since
January 2010
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