PROFILING NEURAL NETWORKS FOR OPTION PRICING

DOI10.1142/S0219024900000097zbMATH Open1149.91314OpenAlexW2031856024MaRDI QIDQ3523552FDOQ3523552

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

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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)

Cites Work

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

Cited In (2)

• Robust artificial neural networks for pricing of European options
• Pricing and hedging derivative securities with neural networks and a homogeneity hint

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