Analysis of option butterfly portfolio models based on nonparametric estimation deep learning method (Q6069529)
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scientific article; zbMATH DE number 7764935
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English | Analysis of option butterfly portfolio models based on nonparametric estimation deep learning method |
scientific article; zbMATH DE number 7764935 |
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Analysis of option butterfly portfolio models based on nonparametric estimation deep learning method (English)
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14 November 2023
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The focus of this hard reading paper is the analysis of the butterfly option returns to study what the authors call the effectiveness of the option market, using 1 minute data from April to May 2019 at the Shanghai Stock Exchange. The method employed is a non parametric deep learning approach.
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option butterfly spread
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non-parametric estimates
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deep learning
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