Similar Search Results

Prognosemodelle und Handelsansätze für Implizite Volatilitäten

Sachtler, Michael - 2004

Persistent link: https://www.econbiz.de/10002392690

Pricing vanilla options using artificial neural networks : application to the South African market

Du Plooy, Ryno; Venter, Pierre J. - In: Cogent economics & finance 9 (2021) 1, pp. 1-15

In this paper, a feed-forward artificial neural network (ANN) is used to price Johannesburg Stock Exchange (JSE) Top 40 European call options using a constructed implied volatility surface. The prices generated by the ANN were compared to the prices obtained using the Black-Scholes (BS) model....

Persistent link: https://www.econbiz.de/10013183896

A neural network approach to understanding implied volatility movements

Cao, Jay; Chen, Jacky; Hull, John - In: Options - 45 years since the publication of the …, (pp. 235-256). 2023

Persistent link: https://www.econbiz.de/10014366653

Implied volatility forecast and option trading strategy

Liu, Dehong; Liang, Yucong; Zhang, Lili; Lung, Peter P.; … - In: International review of economics & finance : IREF 71 (2021), pp. 943-954

Persistent link: https://www.econbiz.de/10012630807

Option valuation under no-arbitrage constraints with neural networks

Cao, Yi; Liu, Xiaoquan; Zhai, Jia - In: European journal of operational research : EJOR 293 (2021) 1, pp. 361-374

Persistent link: https://www.econbiz.de/10012502485

Feature extraction with hybrid neural networks

Wegmann, Georg - 2000

optimizer. The mathematical motivation for such hybrid networks is presented, using the Kolmogorov theory of metric entropy. As … options written on the S&P 500 stock index. While option pricing theory typically requires a highly complex statistical model …

Persistent link: https://www.econbiz.de/10010504308