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Predicting a distribution of implied volatilities for option pricing
5 references·0 citing·24 second hop
Predicting a distribution of implied volatilities for option pricing (2010)Predicting a distribution of implied vola…Prediction of pricing and hedging errors for equity linked warrants with Gaussian process models☆ (2007)Prediction of pricing and hed…Stochastic Volatility for Lévy Processes (2003)Stochastic Volatility for Lév…Pricing and hedging derivative securities with neural networks: Bayesian regularization, early stopping, and bagging (2001)Pricing and hedging derivativ…A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks (1994)A Nonparametric Approach to P…A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks (1994)A Nonparametric Approach to P…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Comparing Predictive Accuracy (1994)Nonlinearity and intraday efficiency tests on energy futures markets (2009)Neural Networks for Option Pricing and Hedging: A Literature Review (2019)Pricing Options and Computing Implied Volatilities using Neural Networks (2019)Pricing and hedging derivative securities with neural networks and a homogeneity hint (2000)Office real estate price index forecasts through Gaussian process regressions for ten major Chinese cities (2024)Machine learning platinum price predictions (2025)Predicting Scrap Steel Prices Through Machine Learning for South China (2025)Options, Futures, and Other Derivative Securities. (1990)Predicting US recessions with leading indicators via neural network models (2001)A hybrid model for exchange rate prediction (2005)Nonlinear neural network forecasting model for stock index option price: Hybrid GJR–GARCH approach (2007)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Time-changed Lévy processes and option pricing (2003)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Tails, Fears, and Risk Premia (2011)A Stochastic Approximation Method (1951)Theory of Rational Option Pricing (1973)Nonparametric risk management and implied risk aversion (2000)Application of neural networks to an emerging financial market: forecasting and trading the Taiwan Stock Index (2002)Deep Learning for Finance: Deep Portfolios (2016)
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References

  • 2003Stochastic Volatility for Lévy Processes871 cited
  • 1994A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks718 cited
  • 2001Pricing and hedging derivative securities with neural networks: Bayesian regularization, early stopping, and bagging169 cited
  • 1994A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks156 cited
  • 2007Prediction of pricing and hedging errors for equity linked warrants with Gaussian process models☆51 cited

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