Option valuation under no-arbitrage constraints with neural networks
type: Item
instance of: scholarly article
title: Option valuation under no-arbitrage constraints with neural networks
zbMATH Open document ID: 1487.91162
author: Yi Cao
author: Xiaoquan Liu
author: Jia Zhai
published in: European Journal of Operational Research
publication date: 2021-06-07T00:00:00Z
full work available at URL: Combine.pdf
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 68T05
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 7356028
zbMATH Keywords: finance
zbMATH Keywords: artificial neural networks
zbMATH Keywords: implied volatilities
zbMATH Keywords: option Greeks
zbMATH Keywords: hedging
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describes a project that uses: gradDescentR
describes a project that uses: Adam
describes a project that uses: H2O
describes a project that uses: h2o
describes a project that uses: MWMOTE
describes a project that uses: SMOTE
MaRDI profile type: Publication
OpenAlex ID: W3112507188
DOI: 10.1016/J.EJOR.2020.12.003
description: scientific article; zbMATH DE number 7356028