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Option valuation under no-arbitrage constraints with neural networks
Yi Cao,
Xiaoquan Liu
, Jia Zhai
Department of Finance, Accounting and Economics
Research output
:
Journal Publication
›
Article
›
peer-review
7
Citations (Scopus)
64
Downloads (Pure)
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Keyphrases
Analytical Expression
33%
Differentiability
33%
Gated Neural Network
66%
Hedging
66%
Hidden Layer
33%
Input Layer
33%
Multiplicative Structure
33%
Neural Network
100%
Neural Network Model
33%
No-arbitrage Condition
100%
Novel Hybrids
33%
Option Greeks
33%
Option Pricing
33%
Option Valuation
100%
Option Valuation Models
33%
Option-implied Volatility
33%
Out-of-sample Forecasting
33%
Performance Prediction
33%
S&P 500 Options
33%
Economics, Econometrics and Finance
Arbitrage
100%
Hedging
66%
Pricing
33%
Volatility
33%
Computer Science
Alternative Model
33%
Neural Network
100%
Neural Network Model
33%
Option Pricing
33%
Prediction Performance
33%