On a Neural Network to Extract Implied Information from American Options

DOI10.1080/1350486X.2022.2097099zbMath1498.91454arXiv2001.11786MaRDI QIDQ5103918

Anastasia Borovykh, Shuaiqiang Liu, Álvaro Leitao, Cornelis W. Oosterlee

Publication date: 9 September 2022

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.11786

zbMATH Keywords

American optionsmachine learningimplied volatilitycomputational financenegative interest rates

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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