[1] Ingersoll J. An examination of corporate call policies on convertible securities [J]. Journal of Finance, 1977, 32(May): 463-478.[2] Figlewski S. Assessing the incremental value of option pricing theory relative to an informationally passive benchmark [J]. Journal of Derivatives, 2002, 10(Fall): 80-96.[3] Krishnan H P, Mains N. Hedging and diversification among convertible bond arbitrage strategies: an option-based approach [J]. Derivatives Use, Trading & Regulation, 2002, 8 (January): 67-75.[4] Chambers D R, Lu Q. A tree model for pricing convertible bonds with equity, interest rate, and default risk [J]. The Journal of Derivatives, 2007, 14(Summer): 25-46.[5] Yigitsbasioglu A, Alexander C. Pricing and hedging convertible bonds: delayed calls and uncertain volatility [J]. International Journal of Theoretical and Applied Finance, 2006, 9(May): 415-453.[6] Vapnik V N. The nature of statiscal learning theory [M]. New York: Springer, 1995.[7] Vapnik V N, Golowich S E, Smola A. Support vector method for function approximation, regression estimation, and signal processing [C]//In M. Mozer, M. Jordan, and T. Petsche, editors, Advances in Neural Information Processing Systems 9, Cambridge, MA: The MIT Press, 1997:281-287.[8] Brown R G. Smoothing, forecasting and prediction of discrete time series [M]. New Jersey: Prentice-Hall, 1963.[9] 杨一文, 刘贵忠. 分形市场假说在沪深股票市场中的实证研究[J]. 当代经济科学,2002,24(1):75-79.[10] Cao L J, Tay F E H. Support vector machine with adaptive parameters in financial time Series forecasting [J]. IEEE Trans. on Neural Networks, 2003, 14(6): 1506-1518.[11] 沈传河. 金融问题中的支持向量机应用研究[D]. 济南:山东科技大学,2011.[12] 王福来, 达庆利. 基于混沌时间序列的误差纠错预测模型[J]. 系统管理学报,2007,16(5):487-491.[13] 宋晓峰, 陈德钊, 胡上序. 结构可调的支持向量回归估计[J]. 控制与决策, 2003,18(6):698-702.[14] 魏宇, 高隆昌. 基于有偏胖尾分布的随机波动模型估计及其检验[J]. 系统管理学报,2008,17(3):266-272.[15] Steppe J M,Bauer Jr K W. Feature saliency measures, computers math[J]. Application, 1997, 33:109-126.[16] 杨国梁, 赵社涛, 徐成贤. 基于支持向量机的金融市场指数追踪技术研究[J]. 国际金融研究,2009,(10):68-72.[17] Satyanarayan S. A note on a risk-return measure of hedging effectiveness [J]. Journal of Futures Markets, 1998, 18 (7): 867-870.[18] 张高勋, 田益祥, 李秋敏. 多元非线性期权定价模型及实证分析[J]. 系统管理学报,2014,23(2):200-207. |