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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
6
Citations (Scopus)
44
Downloads (Pure)
Overview
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Mathematics
Alternatives
9%
Arbitrage
85%
Differentiability
15%
Exercise
16%
Forecasting
18%
Hedging
41%
Implied Volatility
23%
Model
21%
Multiplicative
13%
Neural Network Model
19%
Neural Networks
60%
Option Pricing
18%
Option Valuation
100%
Performance Prediction
24%
Slope
15%
Business & Economics
Alternative Models
16%
Differentiability
23%
Exercise
12%
Hedging
29%
Implied Volatility
17%
Network Model
16%
Neural Networks
77%
No-arbitrage
79%
Option Pricing
16%
Option Valuation
78%
Out-of-sample Forecasting
17%
Performance
6%
Prediction
13%
Valuation Model
18%
Engineering & Materials Science
Costs
4%
Neural networks
39%