scientific article; zbMATH DE number 2033197

MaRDI QIDQ4444241zbMATH OpenFDO

Authors Paul Lajbcygier

Publication date 27 January 2004

Full work available at URL http://link.springer.de/link/service/series/0558/bibs/2714/27140615.htm

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26) Neural networks for/in biological studies, artificial life and related topics (92B20)

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(5)

• Option valuation under no-arbitrage constraints with neural networks
• Pricing and trading European options by combining artificial neural networks and parametric models with implied parameters
• Hybrid artificial neural networks for efficient valuation of real options and financial derivatives
• Constrained option pricing with neural networks and isotonic regression
• Artificial neural network for option pricing with and without asymptotic correction

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