A hybrid option pricing model using a neural network for estimating volatility.

Sunisa Amornwattana David Enke Cihan H. Dagli

Published in: Int. J. Gen. Syst. (2007)

Keyphrases

neural network
probabilistic model
option pricing
genetic algorithm
objective function
stock market
sensitivity analysis
stock price
probability distribution
fuzzy logic
decision theoretic
stochastic process