Risk-neutral density extraction from option prices : improved pricing with mixture density networks

One of the central goals in finance is to find better models for pricing and hedging financial derivatives such as call and put options. We present a semi-nonparametric approach to risk-neutral density extraction from option prices which is based on an extension of the concept of mixture density networks....

MoreLess

Year of publication:	2000-08-01
Authors:	Schittenkopf, Christian ; Dorffner, Georg
Published in:	Wirtschaftsuniversität Wien - Forschungsbezogene elektronische Publikationen Wirtschaftsuniversität Wien - Institut für Informationsverarbeitung und -wirtschaft - SFB Adaptive Information Systems and Modelling in Economics and Management Science / Report Series ; 2000, 47
Publisher:	Institut für Informationsverarbeitung und -wirtschaft <Wien>
Subject:	Optionspreistheorie \| Neuronales Netz

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	416768 bytes 20 p. application/pdf
Type of publication:	Book / Working Paper
Language:	English
Classification:	Subject matter and research method of business administration ; Financial theory ; Individual Reports, Studies ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005841652