Heston-GA hybrid option pricing model based on ResNet50
From MaRDI portal
Publication:2088431
DOI10.1155/2022/7274598zbMath1499.91151MaRDI QIDQ2088431
Yanting Ji, Zheng Yang, Liqin Zhang, Xiang Xing Tao
Publication date: 21 October 2022
Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2022/7274598
91G20: Derivative securities (option pricing, hedging, etc.)
Cites Work
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- A closed form solution for vulnerable options with Heston's stochastic volatility
- A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
- Neocognition: A self-organizing neural network model for a mechanism of pattern recognition unaffected by shift in position
- Mixed fractional Heston model and the pricing of American options
- A closed-form pricing formula for European options under the Heston model with stochastic interest rate
- Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion
- Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility
- On the Heston Model with Stochastic Interest Rates
- Artificial neural network for option pricing with and without asymptotic correction
- European call price modelling using neural networks in considering volatility as stochastic with comparison to the Heston model
- Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching
- Option pricing under the Heston model where the interest rate follows the Vasicek model
- A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL
- THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- The characteristic function of rough Heston models
- The Alpha‐Heston stochastic volatility model