Sequential tracking in pricing financial options using model based and neural network approaches

Advances in Neural Information Processing Systems

Volumn , Issue , 1997, Pages 960-966

  Niranjan, Mahesan ^a  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

COMMERCE; NONLINEAR SYSTEMS;

BLACK-SCHOLES APPROACHES; EXTENDED KALMAN FILTER ALGORITHM; FINANCE LITERATURES; OPTION CONTRACTS; PRICING FINANCIAL OPTIONS; PRICING PROBLEMS; RADIAL BASIS FUNCTIONS NEURAL NETWORKS; SEQUENTIAL MANNERS;

COSTS;

EID: 84898931402     PISSN: 10495258     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (8)

1. Bar-Shalom, Y. & Li, X-R. (1993), Estimation and Tracking: Principles, Techniques and Software, Artech House, London.
2. Candy, J. V. (1986), Signal Processing: The Model Based Aproach, McGraw-Hill, New York.
3. Hull, J. (1993), Options, Futures and Other Derivative Securities, Prentice Hall, NJ.
4. Hutchinson, J. M., Lo, A. W. & Poggio, T. (1994), A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks, The Journal of Finance, Vol XLIX, No. 3., 851-889.
5. Kadirkamanathan, V. & Niranjan, M (1993), A Function Estimation Approach to Sequential Learning with Neural Networks, Neural Computation 5, pp. 954-975.
6. Lowe, D. (1995), On the use of Nonlocal and Non Positive Definite Basis Functions in Radial Basis Networks, Proceedings of the IEE Conference oil Artificial Neural Networks, IEE Conference Publication No. 409, pp 206-211.
7. Niranjan, M., Cox, I. J., Hingorani, S. (1994), Recursive Estimation of Formants in Speech, Proceedings of the International Conference on Acoustics, Speech and Signal Processing, ICASSP 94, Adelaide.
8. Puskorius, G.V. & Feldkamp, L.A. (1994), Neurocontrol of Nonlinear Dynamical Systems with Kalman Filter-Trained Recurrent Networks, IEEE Transactions on Neural Networks, 5 (2), pp 279-297.