Can a machine correct option pricing models?
Caio Almeida, Jianqing Fan, Gustavo Freire, and Francesca Tang
| Year of publication: |
2023
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| Authors: | Almeida, Caio ; Fan, Jianqing ; Freire, Gustavo ; Tang, Francesca |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 41.2023, 3, p. 995-1009
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| Subject: | Boosting | Deep learning | Implied volatility | Model correction | Stochastic volatility | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model | Lernprozess | Learning process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2022.2099871 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014448492