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Time-sequencing European options and pricing with deep learning – Analyzing based on interpretable ALE method
16 references·0 citing·28 second hop
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2002Comparing Predictive Accuracy1,745 cited
  • 2018A Comparison of ARIMA and LSTM in Forecasting Time Series1,382 cited
  • 2003Stochastic Volatility for Lévy Processes871 cited
  • 2020A CNN–LSTM model for gold price time-series forecasting869 cited
  • 1994A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks718 cited
  • 2018NSE Stock Market Prediction Using Deep-Learning Models615 cited
  • 2001A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes316 cited

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2004
Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood
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