Deep Learning Based Hybrid Computational Intelligence Models for Options Pricing

Author:

Arin Efe,Ozbayoglu A. MuratORCID

Funder

TUBITAK

Publisher

Springer Science and Business Media LLC

Subject

Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)

Reference35 articles.

1. Amilon, H. (2003). A neural network versus Black–Scholes: A comparison of pricing and hedging performances. Journal of Forecasting, 22(4), 317–335.

2. Audrino, F., & Colangelo, D. (2010). Semi-parametric forecasts of the implied volatility surface using regression trees. Statistics and Computing, 20(4), 421–434.

3. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Source: The Journal of Political Economy, 81(3), 637–654.

4. Bodie, Z., Kane, A., & Marcus, A. J. (2008). Investments. Pennsylvania: McGraw-Hill/Irwin.

5. Borovykh, A., Bohte, S., & Oosterlee, C. W. (2018). Dilated convolutional neural networks for time series forecasting. Journal of Computational Finance, 22(4), 73–101.

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