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

DOI10.1088/1469-7688/3/3/307zbMATH Open1405.91640OpenAlexW2086026379MaRDI QIDQ4647264FDOQ4647264

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

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zbMATH Keywords

complex derivatives pricingdigital contracts

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Learnability and the Vapnik-Chervonenkis dimension
• Title not available (Why is that?)
• On stochastic differential equations
• Nonparametric estimation of American options' exercise boundaries and call prices
• Pricing and hedging derivative securities with neural networks and a homogeneity hint
• Approximation by superpositions of a sigmoidal function
• Learning from hints in neural networks
• Title not available (Why is that?)

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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