Model risk for European-style stock index options

IEEE Transactions on Neural Networks

Volumn 18, Issue 1, 2007, Pages 193-202

  Gençay, Ramazan ^a   Gibson, Rajna ^b  

^a SIMON FRASER UNIVERSITY   (Canada)

^b UNIVERSITY OF ZURICH   (Switzerland)

Author keywords

Extreme tail events; Feedforward neural networks (FNNs); Nonparametric methods; Option pricing; Risk exposure

Indexed keywords

APPROXIMATION THEORY; DIFFERENTIATION (CALCULUS); MATHEMATICAL MODELS; RANDOM PROCESSES;

EXTREME TAIL EVENTS; NONPARAMETRIC METHODS; OPTION PRICING; PARTIAL DERIVATIVES; STOCHASTIC VOLATILITY; STOCK INDEX OPTIONS;

FEEDFORWARD NEURAL NETWORKS;

ALGORITHM; ARTICLE; ARTIFICIAL INTELLIGENCE; COMPUTER SIMULATION; DECISION SUPPORT SYSTEM; EUROPE; GAME; INVESTMENT; METHODOLOGY; RISK ASSESSMENT; STATISTICAL MODEL;

ALGORITHMS; ARTIFICIAL INTELLIGENCE; COMPUTER SIMULATION; DECISION SUPPORT TECHNIQUES; EUROPE; GAME THEORY; INVESTMENTS; MODELS, ECONOMIC; RISK ASSESSMENT;

EID: 33846116079     PISSN: 10459227     EISSN: None     Source Type: Journal    
DOI: 10.1109/TNN.2006.883005     Document Type: Article

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