Heuristic option pricing with neural networks and the neuro-computer synapse 3

DOI10.1080/02331930008844484zbMath1037.91522OpenAlexW1977210599MaRDI QIDQ4484950

Michael Breitner

Publication date: 2000

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331930008844484

zbMATH Keywords

neural networksfinancial modelingexpert council networksinexpensive neuro-computersSQP-training methodstrue market option and warrant pricing

Mathematics Subject Classification ID

Nonlinear programming (90C30) Learning and adaptive systems in artificial intelligence (68T05) Numerical methods based on nonlinear programming (49M37) Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

• Unnamed Item

Cites Work

• The Pricing of Options and Corporate Liabilities
• Optimum consumption and portfolio rules in a continuous-time model
• Automatic differentiation: techniques and applications
• An Intertemporal Capital Asset Pricing Model
• Option pricing: A simplified approach

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