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Pricing options and computing implied volatilities using neural networks
Liu, Shuaiqiang; Oosterlee, Cornelis Willebrordus; … - In: Risks : open access journal 7 (2019) 1/16, pp. 1-22
stochastic volatility model and Brent’s iterative root-finding method for the calculation of implied volatilities. The numerical …
Persistent link: https://www.econbiz.de/10012016033
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On the solution of the Black-Scholes equation using feed-forward neural networks
Eskiizmirliler, Saadet; Günel, Korhan; Polat, Refet - In: Computational economics 58 (2021) 3, pp. 915-941
Persistent link: https://www.econbiz.de/10012651048
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Option pricing based on the residual neural network
Gan, Lirong; Liu, Wei-han - In: Computational economics 63 (2024) 4, pp. 1327-1347
Persistent link: https://www.econbiz.de/10014549024
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A deep learning based numerical PDE method for option pricing
Wang, Xiang; Li, Jessica; Li, Jichun - In: Computational economics 62 (2023) 1, pp. 149-164
Persistent link: https://www.econbiz.de/10014327247
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Multi-criteria classification for pricing European options
Gradojevic, Nikola - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 2, pp. 123-139
Persistent link: https://www.econbiz.de/10011507441
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Developing an optimized artificial intelligence model for S&P 500 option pricing : a hybrid GARCH model
Hajizadeh, Ehsan - In: International journal of financial engineering 7 (2020) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10012603039
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Deep weighted Monte Carlo : a hybrid option pricing framework using neural networks
Kunsági-Máté, Sándor; Fáth, Gábor; Csabai, István; … - In: Quantitative finance 23 (2023) 4, pp. 615-629
Persistent link: https://www.econbiz.de/10014304287
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Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
Muck, Matthias - In: Review of derivatives research 25 (2022) 3, pp. 293-314
Persistent link: https://www.econbiz.de/10013457626
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Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
Chen, Yangang; Wan, Justin W. L. - In: Quantitative finance 21 (2021) 1, pp. 45-67
Persistent link: https://www.econbiz.de/10012424632
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Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
Na, Andrew S.; Wan, Justin W. L. - In: Quantitative finance 23 (2023) 4, pp. 631-651
Persistent link: https://www.econbiz.de/10014304288