Title of article
Barrier option pricing: modelling with neural nets
Author/Authors
L. Xu، نويسنده , , M. Dixon، نويسنده , , B.A. Eales، نويسنده , , F.F. Cai، نويسنده , , B.J. Read، نويسنده , , J.V. Healy، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2004
Pages
5
From page
289
To page
293
Abstract
We report call option pricing for up-and-out style barrier options through the use of a neural net model. A synthetic data set was constructed from the real LIFFE standard option price data by use of the Rubenstein and Reiner analytic model (Risk September (1991) 28). Unbiased estimates at the 95% confidence level were achieved for realistic barriers (barrier 4% or more above max(S0,X)).
Journal title
Physica A Statistical Mechanics and its Applications
Serial Year
2004
Journal title
Physica A Statistical Mechanics and its Applications
Record number
869738
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