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Robust Artificial Neural Networks for Pricing of European Options

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  • Panayiotis Andreou
  • Chris Charalambous
  • Spiros Martzoukos

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  • Panayiotis Andreou & Chris Charalambous & Spiros Martzoukos, 2006. "Robust Artificial Neural Networks for Pricing of European Options," Computational Economics, Springer;Society for Computational Economics, vol. 27(2), pages 329-351, May.
    • Handle: RePEc:kap:compec:v:27:y:2006:i:2:p:329-351
    DOI: 10.1007/s10614-006-9030-x
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    1. Ederington, Louis & Guan, Wei, 2005. "The information frown in option prices," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1429-1457, June.
    2. Rama Cont & Jose da Fonseca, 2002. "Dynamics of implied volatility surfaces," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 45-60.
    3. Hutchinson, James M & Lo, Andrew W & Poggio, Tomaso, 1994. "A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks," Journal of Finance, American Finance Association, vol. 49(3), pages 851-889, July.
    4. Galai, Dan, 1977. "Tests of Market Efficiency of the Chicago Board Options Exchange," The Journal of Business, University of Chicago Press, vol. 50(2), pages 167-197, April.
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    7. Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 2000. "Pricing and hedging long-term options," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 277-318.
    8. Bates, David S, 1996. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options," The Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 69-107.
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    Cited by:

    1. Rua-Haun Tsaih & Hsiou-Wei Lin & Wen-Chyan Ke, 2014. "An Abductive-Reasoning Guide for Finance Practitioners," Computational Economics, Springer;Society for Computational Economics, vol. 43(4), pages 411-431, April.
    2. Hannah Thinyane & Jonathan Millin, 2011. "An Investigation into the Use of Intelligent Systems for Currency Trading," Computational Economics, Springer;Society for Computational Economics, vol. 37(4), pages 363-374, April.
    3. Healy, Jerome V. & Dixon, Maurice & Read, Brian J. & Cai, Fang Fang, 2007. "Non-parametric extraction of implied asset price distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 121-128.

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