Considering momentum spillover effects via graph neural network in option pricing
Yao Wang, Jingmei Zhao, Qing Li, Xiangyu Wei
| Year of publication: |
2024
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|---|---|
| Authors: | Wang, Yao ; Zhao, Jingmei ; Qing, Li ; Wei, Xiangyu |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 44.2024, 6, p. 1069-1094
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| Subject: | graph neural network | momentum spillover effects | option pricing | Spillover-Effekt | Spillover effect | Neuronale Netze | Neural networks | Optionspreistheorie | Option pricing theory | Graphentheorie | Graph theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22506 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014536719