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

Sunisa AmornwattanaDavid EnkeCihan 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