Real-time pricing of options on currency futures with artificial neural networks
Christian von Spreckelsen, Hans-Jörg von Mettenheim and Michael H. Breitner
| Year of publication: |
2014
|
|---|---|
| Authors: | Spreckelsen, Christian von ; Mettenheim, Hans-Jörg von ; Breitner, Michael H. |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 33.2014, 6, p. 419-432
|
| Subject: | option pricing | delta-hedging | high-frequency data | neural networks | black model | Neuronale Netze | Neural networks | Optionspreistheorie | Option pricing theory | Währungsderivat | Currency derivative | Derivat | Derivative |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010425541