Option pricing models based on wavelet neural network

MaRDI QIDQ3501321zbMATH OpenFDO

Authors Hui Lin, Hongyan Zhang

Publication date 3 June 2008

zbMATH Keywords

Black-Scholes modelimplied volatilityoption pricingwavelet neural network

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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(9)

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• Stochastic volatility options pricing with wavelets and artificial neural networks
• APPLYING THE GENETIC-BASED NEURAL NETWORKS TO VOLATILITY TRADING
• A hybrid option pricing model using a neural network for estimating volatility
• Beyond Black–Scholes: A Neural Networks-Based Approach to Options Pricing

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