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Modelling option prices using neural networks

  • L.F. Hoogerheide
  • H.K. van Dijk

An efficient procedure is proposed to evaluate option prices using neural networks. The method considers alternatives to the procedures suggested by Hutchinson, Lo and Poggio in the Journal of Finance of 1994

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 78.

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Date of creation: 04 Jul 2006
Date of revision:
Handle: RePEc:sce:scecfa:78
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