Pricing financial derivatives with neural networks

Physica A: Statistical Mechanics and its Applications

Volumn 338, Issue 1-2 SPEC. ISS., 2004, Pages 160-165

  Morelli, Marco J ^a   Montagna, Guido ^b,c   Nicrosini, Oreste ^b,c   Treccani, Michele ^b   Farina, Marco ^d   Amato, Paolo ^d  

^a FOM INSTITUTE DIFFER   (Netherlands)

^b UNIVERSITY OF PAVIA   (Italy)

^c INFN SEZIONE DI PAVIA   (Italy)

^d STMICROELECTRONICS   (Italy)

Author keywords

Econophysics; Neural networks; Option pricing

Indexed keywords

ALGORITHMS; INTERPOLATION; MATHEMATICAL MODELS; MONTE CARLO METHODS; PARTIAL DIFFERENTIAL EQUATIONS; RADIAL BASIS FUNCTION NETWORKS; TOPOLOGY;

ECONOPHYSICS; MULTI-LAYER PERCEPTRONS; OPTION PRICING; SCALED CONJUGATE GRADIENT (SCG);

NEURAL NETWORKS;

EID: 2942534602     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.02.038     Document Type: Conference Paper

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