Considering momentum spillover effects via graph neural network in option pricing
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
|
Subject: | graph neural network | momentum spillover effects | option pricing | Spillover-Effekt | Spillover effect | Neuronale Netze | Neural networks | Optionspreistheorie | Option pricing theory | Graphentheorie | Graph theory |
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