Improving Non-Parametric Option Pricing during the Financial Crisis
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References listed on IDEAS
- Garcia, Rene & Gencay, Ramazan, 2000.
"Pricing and hedging derivative securities with neural networks and a homogeneity hint,"
Journal of Econometrics,
Elsevier, pages 93-115.
- René Garcia & Ramazan Gençay, 1998. "Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint," CIRANO Working Papers 98s-35, CIRANO.
- Nikola Gradojevic & Ramazan Gencay & Dragan Kukolj, 2009. "Option Pricing with Modular Neural Networks," Working Paper series 32_09, Rimini Centre for Economic Analysis.
- Bates, David S., 2000. "Post-'87 crash fears in the S&P 500 futures option market," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 181-238.
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- Gradojevic Nikola, 2016.
"Multi-criteria classification for pricing European options,"
Studies in Nonlinear Dynamics & Econometrics,
De Gruyter, vol. 20(2), pages 123-139, April.
- Nikola Gradojevic, 2015. "Multi-criteria Classification for Pricing European Options," Working Paper series 15-13, Rimini Centre for Economic Analysis.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-06-25 (All new papers)
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