Pricing and hedging derivative securities with neural networks and a homogeneity hint

Author:

Garcia René,Gençay Ramazan

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference33 articles.

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2. Learning from hints;Abu-Mostafa;Journal of Complexity,1994

3. Abu-Mostafa, Y., 1995. Financial market applications of learning from hints. In: Refenes, A. (Ed.), Neural Networks in the Capital Markets. Wiley, London, pp. 221–232.

4. Aı̈t-Sahalia, Y., Lo, A., 1996. Nonparametric estimation of state-price densities implicit in financial asset prices. Working Paper LFE-1015-96, MIT Laboratory for Financial Engineering.

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

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