Pricing and trading European options by combining artificial neural networks and parametric models with implied parameters
From MaRDI portal
Publication:2464227
DOI10.1016/j.ejor.2005.03.081zbMath1149.91311WikidataQ57505327 ScholiaQ57505327MaRDI QIDQ2464227
Chris Charalambous, Spiros H. Martzoukos, Panayiotis C. Andreou
Publication date: 10 December 2007
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://dro.dur.ac.uk/5573/1/5573.pdf
92B20: Neural networks for/in biological studies, artificial life and related topics
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Cites Work
- The Pricing of Options and Corporate Liabilities
- Empirical option pricing: A retrospection
- Pricing and hedging derivative securities with neural networks and a homogeneity hint
- Pricing and hedging long-term options
- Dynamics of implied volatility surfaces
- Approximation by superpositions of a sigmoidal function
