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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
5
Citations (Scopus)
43
Downloads (Pure)
Overview
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Dive into the research topics of 'Option valuation under no-arbitrage constraints with neural networks'. Together they form a unique fingerprint.
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Mathematics
Option Valuation
100%
Arbitrage
85%
Neural Networks
60%
Hedging
41%
Performance Prediction
24%
Implied Volatility
23%
Model
21%
Neural Network Model
19%
Option Pricing
18%
Forecasting
18%
Exercise
16%
Differentiability
15%
Slope
15%
Multiplicative
13%
Alternatives
9%
Business & Economics
No-arbitrage
79%
Option Valuation
78%
Neural Networks
77%
Hedging
29%
Differentiability
23%
Valuation Model
18%
Implied Volatility
17%
Out-of-sample Forecasting
17%
Option Pricing
16%
Alternative Models
16%
Network Model
16%
Prediction
13%
Exercise
12%
Performance
6%
Engineering & Materials Science
Neural networks
39%
Costs
4%