PROFILING NEURAL NETWORKS FOR OPTION PRICING

DOI10.1142/S0219024900000097MaRDI QIDQ3523552zbMATH OpenOpenAlexFDO

Authors

Publication date 3 September 2008

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024900000097

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Derivative securities (option pricing, hedging, etc.) (91G20) Neural networks for/in biological studies, artificial life and related topics (92B20)

Recommendations

• A neural network approach to option pricing
• Beyond Black–Scholes: A Neural Networks-Based Approach to Options Pricing
• Robust artificial neural networks for pricing of European options
• Pricing and trading European options by combining artificial neural networks and parametric models with implied parameters
• Option pricing models based on wavelet neural network

Cites work

• A completely automatic french curve: fitting spline functions by cross validation
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• Modeling by shortest data description
• Specialised versus general-purpose algorithms for minimising functions that are sums of squared terms
• The pricing of options and corporate liabilities

Cited in

(5)

• A neural network approach to understanding implied volatility movements
• A neural network approach to understanding implied volatility movements
• Pricing and hedging derivative securities with neural networks and a homogeneity hint
• Robust artificial neural networks for pricing of European options
• Importance sampling for option pricing with feedforward neural networks

This page was built for publication: PROFILING NEURAL NETWORKS FOR OPTION PRICING

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3523552)