Pricing and hedging derivative securities with neural networks: Bayesian regularization, early stopping, and bagging.
Ramazan GencayMin QiPublished in: IEEE Trans. Neural Networks (2001)
Keyphrases
- early stopping
- financial markets
- neural network
- convertible bonds
- option pricing
- stock market
- stock price
- ensemble methods
- support vector machine
- boosting algorithms
- stochastic gradient descent
- decision trees
- pricing model
- random forests
- machine learning
- weak classifiers
- training process
- random forest
- base classifiers
- active learning
- learning algorithm
- generalization error
- transaction costs
- pairwise