Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Pricing and hedging derivative securities with neural networks: Bayesian regularization, early stopping, and bagging

4 references·16 citing·41 second hop

FromToDepth

this work references cited by second hop

References

1994Comparing Predictive Accuracy5,495 cited
1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
1994A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks718 cited
2000Pricing and hedging derivative securities with neural networks and a homogeneity hint211 cited

Cited by

2019Neural Networks for Option Pricing and Hedging: A Literature Review147 cited
2019Pricing Options and Computing Implied Volatilities using Neural Networks135 cited
2009Nonlinearity and intraday efficiency tests on energy futures markets115 cited
2010The Econometrics of Option Pricing110 cited
2009Option Pricing With Modular Neural Networks96 cited
2020Option pricing using Machine Learning87 cited
2014Parametric models and non-parametric machine learning models for predicting option prices: Empirical comparison study over KOSPI 200 Index options84 cited
2004Black–Scholes versus artificial neural networks in pricing FTSE 100 options82 cited
2006Pricing and trading European options by combining artificial neural networks and parametric models with implied parameters80 cited
2006Non‐linear, non‐parametric, non‐fundamental exchange rate forecasting63 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2011Range estimation of construction costs using neural networks with bootstrap prediction intervals59 cited

2007Prediction of pricing and hedging errors for equity linked warrants with Gaussian process models☆51 cited

2007Estimating option implied risk‐neutral densities using spline and hypergeometric functions49 cited

2024A survey on uncertainty quantification in deep learning for financial time series prediction47 cited

2008Testing Forecast Accuracy of Foreign Exchange Rates: Predictions from Feed Forward and Various Recurrent Neural Network Architectures45 cited

2018Generative Bayesian neural network model for risk-neutral pricing of American index options44 cited