Real‐Time Pricing and Hedging of Options on Currency Futures with Artificial Neural Networks

DOI10.1002/FOR.2311zbMath1397.91580OpenAlexW1954722115MaRDI QIDQ4687520

Christian von Spreckelsen, Hans-Jörg von Mettenheim, Michael Breitner

Publication date: 12 October 2018

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

Full work available at URL: https://doi.org/10.1002/for.2311

zbMATH Keywords

high-frequency datadelta-hedgingBlack modelmodel-free pricing approach

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Neural nets and related approaches to inference from stochastic processes (62M45)

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Large data sets and machine learning: applications to statistical arbitrage ⋮ Multi-criteria classification for pricing European options

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