28
Views
3
CrossRef citations to date
0
Altmetric
Theoretical Paper

Digital contracts-driven method for pricing complex derivatives

&
Pages 1002-1010 | Received 01 Jan 2002, Accepted 01 Apr 2003, Published online: 21 Dec 2017

References

  • BlackFScholesMThe pricing of options and corporate liabilitiesJ Polit Economy19738163765410.1086/260062
  • RubinsteinMNon-parametric tests of alternative option pricing models using all reported trades and quotes on the 30 most active CBOE option classes from August 23, 1976 through August 31, 1978J Finance19854045548010.1111/j.1540-6261.1985.tb04967.x
  • BlackFScholesMThe valuation of option contracts and a test of market efficiencyJ Finance19722739941810.2307/2978484
  • IngersollJEJrDigital contracts: simple tools for pricing complex derivativesJ Bus200073678810.1086/209632
  • BroadieMDetempleJGhyselsETorresONonparametric estimation of American option's exercise boundaries and call pricesJ Econ Dynam Control2000241829185710.1016/S0165-1889(99)00094-9
  • HutchinsonJMLoAWPoggioTA nonparametric approach to pricing and hedging derivative securities via learning networksJ Finan19944985188910.1111/j.1540-6261.1994.tb00081.x
  • ChidambaranNKLeeCWJTriguerosJROption pricing via genetic programmingComputational Finance 19991999583597
  • KeberCOption valuation with genetic programming approachComputational Finance 19991999689703
  • MalliarisMSalchenbergerLBeating the best: a neural network challenges the Black–Scholes formulaAppl Intell1993319320610.1007/BF00871937
  • LajbcygierPBoekCPalaniswamiMFlitmanANeural network pricing of all ordinaries SPI options on futuresNeural Networks in Financial Engineering19966477
  • LajbcygierPConnorJImproved option pricing using artificial neural networks and bootstrap methodsInt J Neural Syst1997845747110.1142/S0129065797000446
  • HankeMNeural networks vs. Black–Scholes: an empirical comparison of the pricing accuracy of two fundamentally different option pricing methodsJ Comput Intell Finan199972634
  • AvellanedaMCarelliAStellaFA Bayesian approach for constructing implied volatility surfaces through neural networksJ Comput Finan200048310710.21314/JCF.2000.053
  • QiMMaddalaGSOption pricing using artificial neural networks: the case of S&P 500 index call optionsNeural Networks in Financial Engineering19967891
  • Abu-MostafaYSHintsNeural Comput1995763967110.1162/neco.1995.7.4.639
  • MertonRCTheory of rational option pricingBell J Econ1973414118310.2307/3003143
  • CoxJRossSAThe valuation of options for alternative stochastic processJ Finan Econ1976314516610.1016/0304-405X(76)90023-4
  • ItôKOn stochastic differential equationsMemoirs, Am Math Soc19514151
  • RumelhartDEHintonGEWilliamsRJLearning representations by back-propagating errorsNature198632353353610.1038/323533a0
  • FunahashiKOn the approximate realization of continuous mappings by neural networkNeural Networks1989218319210.1016/0893-6080(89)90003-8
  • CybenkoGApproximation by superpositions of a sigmoidal functionMath Control Signals Syst1989230331410.1007/BF02551274
  • YuHYBangSYAn improved time series prediction by applying the layer-by-layer learning method to FIR neural networksNeural Networks1997101717172910.1016/S0893-6080(97)00066-X
  • ErgezingerSThomsenEAn accelerated learning algorithm for multilayer perceptrons: optimization layer by layerIEEE Trans Neural Networks19951314210.1109/72.363452
  • HullJCOptions, Futures, and Other Derivatives1997

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.