On a neural network to extract implied information from american options
Year of publication: |
2021
|
---|---|
Authors: | Liu, Shuaiqiang ; Leitao, Álvaro ; Borovykh, Anastasia ; Oosterlee, Cornelis Willebrordus |
Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 28.2021, 5, p. 449-475
|
Subject: | American options | computational finance | implied volatility | Machine learning | negative interest rates | Optionspreistheorie | Option pricing theory | Neuronale Netze | Neural networks | Optionsgeschäft | Option trading | Volatilität | Volatility | Künstliche Intelligenz | Artificial intelligence | Black-Scholes-Modell | Black-Scholes model | Zins | Interest rate |
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