Robust artificial neural networks for pricing of European options

DOI10.1007/s10614-006-9030-xzbMath1153.91454OpenAlexW2133363178WikidataQ57505336 ScholiaQ57505336MaRDI QIDQ853592

Chris Charalambous, Panayiotis C. Andreou, Spiros H. Martzoukos

Publication date: 17 November 2006

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-006-9030-x

zbMATH Keywords

artificial neural networksrobust estimationHuber functionimplied parametersoption pricing \& trading

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05)

Related Items

Simple robust neural network

Uses Software

• FinTS
• semml

Cites Work

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• The Pricing of Options and Corporate Liabilities
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• Outlier robust analysis of long-run marketing effects for weekly scanning data
• Robust estimators for simultaneous equations models
• Empirical option pricing: A retrospection
• Pricing and hedging derivative securities with neural networks and a homogeneity hint
• Pricing and hedging long-term options
• Pricing and trading European options by combining artificial neural networks and parametric models with implied parameters
• Robust methods in econometrics
• Robust Estimation, Nonnormalities, and Generalized Exponential Distributions
• Robust Statistics
• Approximation by superpositions of a sigmoidal function

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