On a Neural Network to Extract Implied Information from American Options-Reference-Cited by-同舟云学术

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On a Neural Network to Extract Implied Information from American Options

Published:2021-09-03 Issue:5 Volume:28 Page:449-475
ISSN:1350-486X
Container-title:Applied Mathematical Finance
language:en
Short-container-title:Applied Mathematical Finance

Author:

Liu Shuaiqiang¹^ORCID,Leitao Álvaro²³^ORCID,Borovykh Anastasia⁴,Oosterlee Cornelis W.¹⁵^ORCID

Affiliation:

1. Applied Mathematics (DIAM), Delft University of Technology, Delft, The Netherlands

2. Department of Mathematics, University of A Coruña, A Coruña, Spain

3. CITIC research centre, University of A Coruña, A Coruña, Spain

4. Imperial College London, London, UK

5. Centrum Wiskunde & Informatica, Amsterdam, The Netherlands

Publisher

Informa UK Limited

Subject

Applied Mathematics,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/1350486X.2022.2097099

Reference42 articles.

1. Volatility calibration with American options

2. Deep calibration of financial models: turning theory into practice

3. Real Options and American Derivatives: The Double Continuation Region

4. Pricing and Hedging American-Style Options with Deep Learning

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3. Reinforcement Learning for Stock Option Trading;2023 31st Irish Conference on Artificial Intelligence and Cognitive Science (AICS);2023-12-07

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