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ArticleOption pricing using Machine Learning

Codruț-Florin Ivașcu2020

Article2020

Option pricing using Machine Learning

Codruț-Florin Ivașcu

87 citations·0/0 files stored·Expert Systems with Applications

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Stochastic processes and financial applications Financial Markets and Investment Strategies Stock Market Forecasting Methods

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1976Option pricing when underlying stock returns are discontinuous 1987The Pricing of Options on Assets with Stochastic Volatilities 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 1994A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks 1982Approximate option valuation for arbitrary stochastic processes 1999Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension

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2021Time-sequencing European options and pricing with deep learning – Analyzing based on interpretable ALE method

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Year2020

Typearticle

Published2020-07-31

VenueExpert Systems with Applications

ISSN-L0957-4174

Languageen

Citations87

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.eswa.2020.113799

openalex_workW3046848818

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