Option valuation under no-arbitrage constraints with neural networks
Yi Cao, Xiaoquan Liu, Jia Zhai
| Year of publication: |
2021
|
|---|---|
| Authors: | Cao, Yi ; Liu, Xiaoquan ; Zhai, Jia |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 293.2021, 1 (16.8.), p. 361-374
|
| Subject: | Artificial neural networks | Finance | Hedging | Implied volatilities | Option greeks | Neuronale Netze | Neural networks | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Derivat | Derivative | Optionsgeschäft | Option trading | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2020.12.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012502485