A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks
We propose a nonparametric method for estimating derivative financial asset pricing formulae using learning networks. To demonstrate feasibility, we first simulate Black-Scholes option prices and show that learning networks can recover the Black-Scholes formula from a two-year training set of...
| Main Authors: | , , |
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| Language: | en_US |
| Published: |
2004
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| Online Access: | http://hdl.handle.net/1721.1/7287 |