European call price modelling using neural networks in considering volatility as stochastic with comparison to the Heston model

DOI10.1080/00949655.2020.1747463OpenAlexW3019317279MaRDI QIDQ5036853

Samira Chaabene, Yacin Jerbi

Publication date: 23 February 2022

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2020.1747463

zbMATH Keywords

neural networksstochastic volatilitycross-validationHeston modelEuropean option pricing

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

Hybrid method based on neural networks and Monte Carlo simulation in view of a tradeoff between accuracy and computational time ⋮ Heston-GA hybrid option pricing model based on ResNet50

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Empirical option pricing: A retrospection
• Econometric methods for derivative securities and risk management
• Two singular diffusion problems
• A Theory of the Term Structure of Interest Rates
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach

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