𝔖 Bobbio Scriptorium
✦   LIBER   ✦

PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS

✍ Scribed by Michael Kohler; Adam Krzyżak; Nebojsa Todorovic

Book ID
111043160
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
318 KB
Volume
20
Category
Article
ISSN
0960-1627

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✍ Ulrich Anders; Olaf Korn; Christian Schmitt 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 299 KB 👁 2 views

In this paper we apply statistical inference techniques to build neural network models which are able to explain the prices of call options written on the German stock index DAX. By testing for the explanatory power of several variables serving as network inputs, some insight into the pricing proces