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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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Nowcasting networks
Chataigner, Marc; Crépey, Stéphane; Pu, Jiang - In: The journal of computational finance 24 (2020) 3, pp. 1-39
Persistent link: https://www.econbiz.de/10012543628
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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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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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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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Prognosemodelle und Handelsansätze für Implizite Volatilitäten
Sachtler, Michael - 2004
Persistent link: https://www.econbiz.de/10002392690
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On a neural network to extract implied information from american options
Liu, Shuaiqiang; Leitao, Álvaro; Borovykh, Anastasia; … - In: Applied mathematical finance 28 (2021) 5, pp. 449-475
Persistent link: https://www.econbiz.de/10013411712
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Option pricing with neural networks vs. Black-Scholes under different volatility forecasting approaches for BIST 30 index options
İltüzer, Zeynep - In: Borsa Istanbul Review 22 (2022) 4, pp. 725-742
) index call and put options with different volatility forecasting approaches. Since the volatility is the key parameter in … pricing options, GARCH (Generalized Autoregressive Conditional Heteroskedasticity), implied volatility, historical volatility …, and implied volatility index (VBI) are used to determine the best volatility approach for pricing options according to …
Persistent link: https://www.econbiz.de/10013334825
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Physics-informed convolutional transformer for predicting volatility surface
Kim, Soohan; Yun, Seok-Bae; Bae, Hyeong-Ohk; Lee, Muhyun; … - In: Quantitative finance 24 (2024) 2, pp. 203-220
Persistent link: https://www.econbiz.de/10014551964