Critical Assessment of Option Pricing Methods Using Artificial Neural Networks-Reference-Cited by-同舟云学术

Critical Assessment of Option Pricing Methods Using Artificial Neural Networks

Published:2002 Issue: Volume: Page:1131-1136
ISSN:0302-9743
Container-title:Artificial Neural Networks — ICANN 2002
language:
Short-container-title:

Author:

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

Publisher

Springer Berlin Heidelberg

Link

http://link.springer.com/content/pdf/10.1007/3-540-46084-5_183

Reference9 articles.

1. Rubinstein, M.: Nonparametric tests of alternative option pricing models using all reported trades and quotes on the 30 most active CBOE option classes from August 23, 1976 through August 31, 1978. Journal of Finance, Vol. XL (1985) 455–480.

2. Bakshi, G., Cao, C., Chen, Z.: Empirical performance of alternative options pricing models. Journal of Finance 57 (1997) 2003–2049.

3. Hutchison, J. M., Lo, A. W., Poggio, T.: A nonparametric approach to pricing and hedging derivative securities via learning networks. Journal of Finance, Vol. 49, No. 3 (1994) 851–889.

4. Lajbcygier, P., Flitman, A., Swan, A., Hyndman, R.: The pricing and trading of o-ptions using a hybrid neural network model with historical volatility. Neurovest Journal, Vol. 5, No. 1 (1997) 27–41.

5. Yao, J., Li, Y., Tan, C. L.: Option price forecasting using neural networks. The International Journal of Management Science, Vol. 28 (2000) 455–466.

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Neural Networks for Option Pricing and Hedging: A Literature Review;SSRN Electronic Journal;2019

2. PRICING AND HEDGING SHORT STERLING OPTIONS USING NEURAL NETWORKS;Intelligent Systems in Accounting, Finance and Management;2012-04

3. Pricing and Hedging Short Sterling Options Using Neural Networks;SSRN Electronic Journal;2011