Neural Networks for Option Pricing and Hedging: a Literature Review
Journal of computational finance/The journal of computational finance(2020)
Abstract
Neural networks have been used as a nonparametric method for option pricing and hedging since the early 1990s, with far more than a hundred papers having been published on the topic. This paper provides a comprehensive review of the field, comparing articles in terms of input features, output variables, benchmark models, performance measures, data partition methods and underlying assets. Further, related work and regularization techniques are discussed.
MoreTranslated text
AI Read Science
Must-Reading Tree
Example
Generate MRT to find the research sequence of this paper
Chat Paper
Summary is being generated by the instructions you defined