A general framework for building machine learning models for pricing american index options with no-arbitrage and its limitation.
Huisu JangJaewook LeePublished in: MIDAS@PKDD/ECML (2016)
Keyphrases
- machine learning models
- option pricing
- spam filtering
- stock price
- machine learning algorithms
- financial markets
- machine learning approaches
- black scholes model
- learning models
- double exponential
- stock market
- learning algorithm
- information retrieval
- data mining
- learning experience
- predictive model
- graphical models
- decision trees
- machine learning