Pricing and trading European options by combining artificial neural networks and parametric models with implied parameters

DOI10.1016/j.ejor.2005.03.081zbMath1149.91311OpenAlexW2024035663WikidataQ57505327 ScholiaQ57505327MaRDI QIDQ2464227

Chris Charalambous, Spiros H. Martzoukos, Panayiotis C. Andreou

Publication date: 10 December 2007

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://dro.dur.ac.uk/5573/1/5573.pdf

zbMATH Keywords

neural networksfinanceempirical option pricing

Mathematics Subject Classification ID

Related Items (9)

Neural networks in financial trading ⋮ Robust artificial neural networks for pricing of European options ⋮ Multi-criteria classification for pricing European options ⋮ Revealing pairs-trading opportunities with long short-term memory networks ⋮ Wavelet-based option pricing: an empirical study ⋮ Forecasting foreign exchange rates with adaptive neural networks using radial-basis functions and particle swarm optimization ⋮ Rough support vector regression ⋮ Option valuation under no-arbitrage constraints with neural networks ⋮ VIX derivatives, hedging and vol-of-vol risk

Cites Work

• The Pricing of Options and Corporate Liabilities
• Empirical option pricing: A retrospection
• Pricing and hedging derivative securities with neural networks and a homogeneity hint
• Pricing and hedging long-term options
• Dynamics of implied volatility surfaces
• Approximation by superpositions of a sigmoidal function

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