A neural network versus Black-Scholes: A comparison of pricing and hedging performances

Journal of Forecasting

Volumn 22, Issue 4, 2003, Pages 317-335

  Amilon, Henrik ^a  

^a LUND UNIVERSITY   (Sweden)

Author keywords

Bootstrap; Hedging; Neural networks; Option pricing; Statistical inference

Indexed keywords

COSTS; ECONOMIC AND SOCIAL EFFECTS; INDUSTRIAL ECONOMICS; MATHEMATICAL MODELS; REGRESSION ANALYSIS;

ECONOMIC FORECASTINGS; PRICING ASPECTS;

NEURAL NETWORKS;

EID: 0042697754     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/for.867     Document Type: Article

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