Index Option Greek Analysis with Heikin-Ashi Transformed Data and Its prediction with Artificial Neural Network

Authors

  • Nishchal Sharma  Assistant Professor Govt College Kullu, Himachal Pradesh, India

DOI:

https://doi.org//10.32628/CSEIT206136

Keywords:

Heikin Ashi Transformation, index option, option Greek, Neural Network, Stock Market Analysis, Time series filtering.

Abstract

This paper analyses the Index Option Greek with respect to a transformed data set of Index that has been Heikin Ashi Transformed. It has been noted that Heikin Ashi Transformation can provide better prediction than normal data and the noise effect can also be used to filter out if volume weights are also considered. This paper tries to predict option greeks for index option with the help of a Neural Network setup. Since option greeks play a very important role in understanding the correct pricing of index option, the paper provides some useful insights in such models.

References

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IInternational Journal of Scientific Research in Computer Science, Engineering and Information Technology

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Published

2020-02-29

Issue

Volume 6, Issue 1, January-February-2020

Section

Research Articles

License

Copyright (c) IJSRCSEIT

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

How to Cite

[1]
Nishchal Sharma, " Index Option Greek Analysis with Heikin-Ashi Transformed Data and Its prediction with Artificial Neural Network, IInternational Journal of Scientific Research in Computer Science, Engineering and Information Technology(IJSRCSEIT), ISSN : 2456-3307, Volume 6, Issue 1, pp.166-169, January-February-2020. Available at doi : https://doi.org/10.32628/CSEIT206136