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Volumn 4234 LNCS - III, Issue , 2006, Pages 410-419

Pricing options in Hong Kong market based on neural networks

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTER SIMULATION; ERROR ANALYSIS; LEARNING SYSTEMS; MARKETING; NEURAL NETWORKS; NUMERICAL ANALYSIS;

EID: 33750716010     PISSN: 03029743     EISSN: 16113349     Source Type: Book Series    
DOI: 10.1007/11893295_46     Document Type: Conference Paper
Times cited : (5)

References (10)
  • 1
    • 0042697754 scopus 로고    scopus 로고
    • Neural network versus Black-Scholes: A comparison of pricing and hedging performances
    • Amilon, H.: Neural network versus Black-Scholes: a comparison of pricing and hedging performances. Journal of Forecast 22 (2003) 317-335
    • (2003) Journal of Forecast , vol.22 , pp. 317-335
    • Amilon, H.1
  • 2
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • Black, F., Scholes, M.: The pricing of options and corporate liabilities. Journal of Political Economy 81 (1973) 637-654
    • (1973) Journal of Political Economy , vol.81 , pp. 637-654
    • Black, F.1    Scholes, M.2
  • 4
    • 0001321136 scopus 로고
    • On the representation of continuous functions of many variables by superposition of continuous functions of one variable and addition
    • Kolmogorov, A.N.: On the representation of continuous functions of many variables by superposition of continuous functions of one variable and addition. Dokl. Akad. Nauk USSR 6 (1957) 953-956
    • (1957) Dokl. Akad. Nauk USSR , vol.6 , pp. 953-956
    • Kolmogorov, A.N.1
  • 5
    • 2442664179 scopus 로고    scopus 로고
    • Improving option pricing with the product constrained hybrid neural network
    • Lajbcyg, P.: Improving option pricing with the product constrained hybrid neural network. IEEE Trans on Neural Networks 15 (2004) (2) 465-476
    • (2004) IEEE Trans on Neural Networks , vol.15 , Issue.2 , pp. 465-476
    • Lajbcyg, P.1
  • 6
    • 0031197013 scopus 로고    scopus 로고
    • Improved option pricing using artificial neural networks and bootstrap methods
    • Lajbcygier, P.R., Jerome, T.C.: Improved option pricing using artificial neural networks and bootstrap methods. International Journal of Neural Systems 8 (1997) 457-471
    • (1997) International Journal of Neural Systems , vol.8 , pp. 457-471
    • Lajbcygier, P.R.1    Jerome, T.C.2
  • 7
    • 0029364906 scopus 로고
    • Methods of training and constructing multilayer perceptrons with arbitrary pattern sets
    • Liang, X., Xia, S.: Methods of training and constructing multilayer perceptrons with arbitrary pattern sets. International Journal of Neural Systems 6 (1995) (3) 233-247
    • (1995) International Journal of Neural Systems , vol.6 , Issue.3 , pp. 233-247
    • Liang, X.1    Xia, S.2
  • 8
    • 2342498308 scopus 로고
    • Information crosswise propagation (CP) learning in multilayer perceptrons - A novel way to neuron pruning
    • Liang, X., Wang, X.: Information crosswise propagation (CP) learning in multilayer perceptrons - a novel way to neuron pruning. In: Proc of World Congress on Neural Networks Washington D.C. 1 (1995) 642-645
    • (1995) Proc of World Congress on Neural Networks Washington D.C. , vol.1 , pp. 642-645
    • Liang, X.1    Wang, X.2
  • 9
    • 0142087001 scopus 로고    scopus 로고
    • Beyond Black Scholes: A neural networks-based approach to options pricing
    • Zapart, A.C.: Beyond Black Scholes: a neural networks-based approach to options pricing. International Journal of Theoretical and Applied Finance 6 (2003) 469-489
    • (2003) International Journal of Theoretical and Applied Finance , vol.6 , pp. 469-489
    • Zapart, A.C.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.