A data and digital-contracts driven method for pricing complex derivatives

DOI10.1088/1469-7688/3/3/307zbMath1405.91640OpenAlexW2086026379MaRDI QIDQ4647264

Jun Lu, Hiroshi Ohta

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/3/3/307

zbMATH Keywords

complex derivatives pricingdigital contracts

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Learning from hints in neural networks
• Nonparametric estimation of American options' exercise boundaries and call prices
• Pricing and hedging derivative securities with neural networks and a homogeneity hint
• Learnability and the Vapnik-Chervonenkis dimension
• On stochastic differential equations
• Approximation by superpositions of a sigmoidal function

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