Abstract:We use the superposition of the Lévy processes to optimize the classic BN-S model. Considering the frequent fluctuations of price parameters difficult to accurately estimate in the model, we preprocess the price data based on fuzzy theory. The price of S&P500 stock index options in the past ten years are analyzed, and the deterministic fluctuations are captured by machine learning methods. The results show that the new model in a fuzzy environment solves the long-term dependence problem of the classic model wi… Show more
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