Pricing and hedging derivative securities with neural networks and a homogeneity hint

DOI10.1016/S0304-4076(99)00018-4zbMath0942.62130WikidataQ128132037 ScholiaQ128132037MaRDI QIDQ1969815

Ramazan Gençay, René Garcia

Publication date: 21 August 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

feedforward neural networkgeneralized Black-Scholesgeneralized option pricinghomogeneity hint

Mathematics Subject Classification ID

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