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ArticlePricing financial derivatives with neural networks

Marco J. Morelli2004

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Articlegreen2004

Pricing financial derivatives with neural networks

Marco J. Morelli · Guido Montagna A · O. Nicrosini · Michele Treccani · Marco Farina · Paolo Amato

37 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Stochastic processes and financial applications Neural Networks and Applications Stock Market Forecasting Methods

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2016“Options, Futures, and Other Derivatives”2003Options, Futures and Other Derivatives 1994A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks 1999A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS

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2014A Path Integral Way to Option Pricingarticle · 5 shared references 2007A hybrid option pricing model using a neural network for estimating volatilityarticle · 5 shared references 2012A Survey of Systemic Risk Analyticspreprint · 4 shared references 2004Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihoodarticle · 4 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 4 shared references 2003Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approacharticle · 4 shared references

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Year2004

Typearticle

Published2004-03-13

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations37

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.physa.2004.02.038

openalex_workW1998997782

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