Optimal forecasting of option prices using particle filters and neural networks
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Publication:3020606
DOI10.1080/02522667.2011.10700056zbMath1218.91171MaRDI QIDQ3020606
Linying Huang, Shian-Chang Huang
Publication date: 4 August 2011
Published in: Journal of Information and Optimization Sciences (Search for Journal in Brave)
Full work available at URL: http://www.connectjournals.com/file_html_pdf/1025602H_01_JIOS_T05_32-2_pp255-276a.pdf
62M20: Inference from stochastic processes and prediction
91G70: Statistical methods; risk measures
91G20: Derivative securities (option pricing, hedging, etc.)
62M45: Neural nets and related approaches to inference from stochastic processes
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