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

Zhang Ning

doi:10.4028/www.scientific.net/AMM.20-23.931

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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vols. 20-23Research about Option’s Risk and Price in China...

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.

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Periodical:

Applied Mechanics and Materials (Volumes 20-23)

Pages:

931-935

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.20-23.931

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Online since:

January 2010

Authors:

Zhang Ning

Keywords:

Black-Scholes Model, GARCH Model, HHT, Option Pricing, Signal-Analysis

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References

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