A data and digital-contracts driven method for pricing complex derivatives

DOI10.1088/1469-7688/3/3/307MaRDI QIDQ4647264zbMATH OpenOpenAlexFDO

Authors Jun Lu, Hiroshi Ohta

Publication date 14 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/1469-7688/3/3/307

zbMATH Keywords

complex derivatives pricingdigital contracts

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 1304894 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Approximation by superpositions of a sigmoidal function
• Learnability and the Vapnik-Chervonenkis dimension
• Learning from hints in neural networks
• Nonparametric estimation of American options' exercise boundaries and call prices
• On stochastic differential equations
• Pricing and hedging derivative securities with neural networks and a homogeneity hint
• The pricing of options and corporate liabilities

Cited in

(2)

• A data-driven framework for consistent financial valuation and risk measurement
• Digital contracts-driven method for pricing complex derivatives

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