Prediction of pricing and hedging errors for equity linked warrants with Gaussian process models

Expert Systems with Applications

Volumn 35, Issue 1-2, 2008, Pages 515-523

  Han, Gyu Sik ^a   Lee, Jaewook ^a  

^a Pohang University of Science and Technology (POSTECH)   (South Korea)

Author keywords

Derivatives; Equity linked warrants; Gaussian processes; Hedging; Neural networks

Indexed keywords

COMPUTER NETWORKS; ERRORS; FORECASTING; GAUSSIAN DISTRIBUTION; GAUSSIAN NOISE (ELECTRONIC); INDUSTRIAL ECONOMICS; LEARNING SYSTEMS; METROPOLITAN AREA NETWORKS; NETWORK PROTOCOLS; NEURAL NETWORKS; TRELLIS CODES;

APPLIED (CO); BAYESIAN; EARLY STOPPING; ELSEVIER (CO); GAUSSIAN PROCESS (GP); GAUSSIAN PROCESS MODELS; HEDGING ERRORS; KERNEL-BASED LEARNING; MARKET DATA; NEURAL NETWORK (NN) MODELS; PREDICTIVE DISTRIBUTIONS;

MATHEMATICAL MODELS;

EID: 44949214945     PISSN: 09574174     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eswa.2007.07.041     Document Type: Article

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