Option pricing with neural networks vs. Black-Scholes under different volatility forecasting approaches for BIST 30 index options-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Option pricing with neural networks vs. Black-Scholes under different volatility forecasting approaches for BIST 30 index options

Published:2021-12 Issue: Volume: Page:
ISSN:2214-8450
Container-title:Borsa Istanbul Review
language:en
Short-container-title:Borsa Istanbul Review

Author:

İltüzer Zeynep

Publisher

Elsevier BV

Subject

General Medicine

Reference44 articles.

1. A neural network versus Black–Scholes: A comparison of pricing and hedging performances;Amilon;Journal of Forecasting,2003

2. Option valuation with systematic stochastic volatility;Amin;The Journal of Finance,1993

3. Improving the pricing of options: A neural network approach;Anders;Journal of Forecasting,1998

4. Black–Scholes versus artificial neural networks in pricing FTSE 100 options;Bennell;Intelligent Systems,2005

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. Financial derivative instruments and their applications in Islamic banking and finance: Fundamentals, structures and pricing mechanisms;Borsa Istanbul Review;2024-03

2. Integration of Fractional Order Black-Scholes Merton with Neural Network;2023 15th International Conference on Innovations in Information Technology (IIT);2023-11-14

3. Heston-GA Hybrid Option Pricing Model Based on ResNet50;Discrete Dynamics in Nature and Society;2022-09-27

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP