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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
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A neural network enhanced volatility component model
Zhai, Jia; Cao, Yi; Liu, Xiaoquan - In: Quantitative finance 20 (2020) 5, pp. 783-797
Persistent link: https://www.econbiz.de/10012262620
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Wavelet-based option pricing : an empirical study
Liu, Xiaoquan; Cao, Yi; Ma, Chenghu; Shen, Liya - In: European journal of operational research : EJOR 272 (2019) 3, pp. 1132-1142
Persistent link: https://www.econbiz.de/10011942861
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Estimating price impact via deep reinforcement learning
Cao, Yi; Zhai, Jia - In: International journal of finance & economics : IJFE 27 (2022) 4, pp. 3954-3970
Persistent link: https://www.econbiz.de/10013461299