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Neural networks for option pricing and hedging: a literature review

Ruf, Johannes and Wang, Weiguan (2020) Neural networks for option pricing and hedging: a literature review. Journal of Computational Finance. ISSN 1460-1559 (In Press)

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Pending embargo until 1 January 2100.

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Abstract

Neural networks have been used as a nonparametric method for option pricing and hedging since the early 1990s. Far over a hundred papers have been published on this topic. This note intends to provide a comprehensive review. Papers are compared in terms of input features, output variables, benchmark models, performance measures, data partition methods, and underlying assets. Furthermore, related work and regularisation techniques are discussed.

Item Type: Article
Official URL: https://www.risk.net/journal-of-computational-fina...
Divisions: Mathematics
Statistics
Subjects: Q Science > QA Mathematics
Date Deposited: 11 May 2020 15:27
Last Modified: 28 Jun 2020 23:31
URI: http://eprints.lse.ac.uk/id/eprint/104341

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