Hybrid method based on neural networks and Monte Carlo simulation in view of a tradeoff between accuracy and computational time
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Publication:5079831
DOI10.1080/03610926.2020.1818782OpenAlexW3086349222MaRDI QIDQ5079831
Publication date: 30 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2020.1818782
Cites Work
- The Pricing of Options and Corporate Liabilities
- Econometric methods for derivative securities and risk management
- European call price modelling using neural networks in considering volatility as stochastic with comparison to the Heston model
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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