Option Pricing With Modular Neural Networks
نویسندگان
چکیده
منابع مشابه
Option Pricing using Neural Networks
The first attempt was made by Hutchinson, Lo and Poggio (1994) who used three different network architectures: Radial Basis Functions (RBF), Multi Layer Perceptron (MLP), Projection Pursuit Regression (PPR) to fit both Monte-Carlo simulated Brownian underlier and Black-Scholes option data, as well as S&P500 futures and options thereof. They used a minimalistic approach in their input selection,...
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ژورنال
عنوان ژورنال: IEEE Transactions on Neural Networks
سال: 2009
ISSN: 1045-9227,1941-0093
DOI: 10.1109/tnn.2008.2011130