This paper compares the performance of artificial neural networks (ANNs) with that of the
modified Black model in both pricing and hedging short sterling options. Using high …

In empirical modeling, there have been two strands for pricing in the options literature,
namely the parametric and nonparametric models. Often, the support for the nonparametric …

This thesis aims to evaluate the performance of deep learning artificial neural network
(ANN)(multi-layer perceptron (MLP) and long short-term memory (LSTM)) models and …

隐含波动辛是指在市场中观察的期权价格所董涵的波动事. 不同种类的期权价格对波动事的敏感
魔不同, 本文建立了小波神经网络和遗传算法相结合的模型, 将期权按钱性进行分类 …

From the perspective of risk management, financial organization that have issued ELW
require an efficient hedging methodology due to recently increased trade volume of ELW …

An option is the right, not the obligation, to buy or sell an underlying asset at a later date by
fixing the price of the asset at the present moment. European styled options can be priced …