Risk-neutral density extraction from option prices: Improved pricing with mixture density networks

IEEE Transactions on Neural Networks

Volumn 12, Issue 4, 2001, Pages 716-725

  Schittenkopf, Christian ^a   Dorffner, Georg ^a,b  

^a AUSTRIAN RESEARCH INSTITUTE FOR ARTIFICIAL INTELLIGENCE   (Austria)

^b UNIVERSITY OF VIENNA   (Austria)

Author keywords

Hedging; Mixture density networks; Options; Pricing; Risk neutral densities

Indexed keywords

COMPUTER SIMULATION; ECONOMICS; FINANCE; MATHEMATICAL MODELS; MONTE CARLO METHODS; PROBABILITY DISTRIBUTIONS; RANDOM PROCESSES;

HEDGING; MIXTURE DENSITY NETWORKS; OPTION PRICING; RISK-NEURAL DENSITIES;

MULTILAYER NEURAL NETWORKS;

EID: 0035391630     PISSN: 10459227     EISSN: None     Source Type: Journal    
DOI: 10.1109/72.935085     Document Type: Article

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