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Risk-Neutral Density Extraction from Option Prices: Improved Pricing with Mixture Density Networks.
- Source :
-
IEEE Transactions on Neural Networks . Jul2001, Vol. 12 Issue 4, p716. 10p. 1 Diagram, 6 Charts, 2 Graphs. - Publication Year :
- 2001
-
Abstract
- Provides information on a study that presented a semi-nonparametric approach to risk-neutral density extraction from option prices which is based on an extension of the concept of mixture density networks. Option pricing models; Estimation and evaluation of models; Comparison of risk-neutral densities.
- Subjects :
- *OPTION value
*ARTIFICIAL neural networks
Subjects
Details
- Language :
- English
- ISSN :
- 10459227
- Volume :
- 12
- Issue :
- 4
- Database :
- Academic Search Index
- Journal :
- IEEE Transactions on Neural Networks
- Publication Type :
- Academic Journal
- Accession number :
- 4891065
- Full Text :
- https://doi.org/10.1109/72.935085