Heuristic option pricing with neural networks and the neuro-computer synapse 3

DOI10.1080/02331930008844484MaRDI QIDQ4484950zbMATH OpenOpenAlexFDO

Authors Michael Breitner

Publication date 2000

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331930008844484

zbMATH Keywords

expert council networksfinancial modelinginexpensive neuro-computersneural networksSQP-training methodstrue market option and warrant pricing

Mathematics Subject Classification ID

Numerical methods based on nonlinear programming (49M37) Learning and adaptive systems in artificial intelligence (68T05) Nonlinear programming (90C30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• An Intertemporal Capital Asset Pricing Model
• Automatic differentiation: techniques and applications
• Optimum consumption and portfolio rules in a continuous-time model
• Option pricing: A simplified approach
• The pricing of options and corporate liabilities

Cited in

(1)

• Robust optimal onboard reentry guidance of a space shuttle: Dynamic game approach and guidance synthesis via neural networks

Describes a project that uses

Uses Software

• GRADIENT

This page was built for publication: Heuristic option pricing with neural networks and the neuro-computer synapse 3

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4484950)