Merged LSTM-MLP for option valuation

DOI10.1080/14697688.2025.2493965MaRDI QIDQ6885063zbMATH OpenFDO

Authors Rita Pimentel, Sjur Westgaard, Christian-Oliver Ewald

Publication date 12 December 2025

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2025.2493965

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

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• Parametric Inference and Dynamic State Recovery From Option Panels
• Pricing and trading European options by combining artificial neural networks and parametric models with implied parameters
• Pricing under rough volatility
• The pricing of options and corporate liabilities
• Unlocking the black box: non-parametric option pricing before and during COVID-19
• Visualizing the Effects of Predictor Variables in Black Box Supervised Learning Models

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