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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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Local volatility calibration during turbulent periods
Skindilias, Konstantinos; Lo, Chia Chun - In: Review of quantitative finance and accounting 44 (2015) 3, pp. 425-444
Persistent link: https://www.econbiz.de/10011327607
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Probabilistic machine learning for local volatility
Tegnér, Martin; Roberts, Stephen - In: The journal of computational finance 25 (2021) 3, pp. 1-50
Persistent link: https://www.econbiz.de/10012873079
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Dupire's formulas in the Piterbarg option pricing model
Labuschagne, Coenraad C. A.; Boetticher, Sven T. von - In: The North American journal of economics and finance : a … 38 (2016), pp. 148-162
Persistent link: https://www.econbiz.de/10011673354
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Debt rollover-induced local volatility model
Sokolinskiy, Oleg - In: Review of quantitative finance and accounting 52 (2019) 4, pp. 1065-1084
Persistent link: https://www.econbiz.de/10012172912
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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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Deep learning based hybrid computational intelligence models for options pricing
Arin, Efe; Özbayoglu, Ahmet Murat - In: Computational economics 59 (2022) 1, pp. 39-58
Persistent link: https://www.econbiz.de/10013168900
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Volatility smile interpolation with radial basis functions
Azemtsa Donfack, Hermann; Wafo Soh, Celestin; Kotze, Antonie - In: International journal of theoretical and applied … 25 (2022) 7/8, pp. 1-23
Persistent link: https://www.econbiz.de/10014235131
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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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Real-time pricing of options on currency futures with artificial neural networks
Spreckelsen, Christian von; Mettenheim, Hans-Jörg von; … - In: Journal of forecasting 33 (2014) 6, pp. 419-432
Persistent link: https://www.econbiz.de/10010425541