Pricing and hedging derivative securities with neural networks and a homogeneity hint

DOI10.1016/S0304-4076(99)00018-4zbMath0942.62130WikidataQ128132037 ScholiaQ128132037MaRDI QIDQ1969815

Ramazan Gençay, René Garcia

Publication date: 21 August 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

feedforward neural network; generalized Black-Scholes; generalized option pricing; homogeneity hint

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62P05: Applications of statistics to actuarial sciences and financial mathematics

68T05: Learning and adaptive systems in artificial intelligence

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