Zobrazeno 1 - 1
of 1
pro vyhledávání: '"Guerrero Torres, Sandra Patricia"'
Publikováno v:
I. J. Cox, J.C. and S. Ross. A theory of the term structure of interest rates. Econometrica, 53(2):385-408., 1985.
G. Cybenko. Approximation by superpositions of a sigmoidal function. Mathematics of Control, Signals and Systems, 1989.
D. N. Eric Chin and S. Ólafsson. Problems and solutions in mathematical fi nance (volume 1: Stochastic calculus). John Wiley & Sons, Ltd, 2014.
J. Gatheral. The volatility surface: A practitioner's guide. John Wiley & Sons, Ltd, 2006.
P. Gupta. Topics in laplace and fourier transforms. Laxmi Publications Pvt.Ltd., 2019.
S. L. Heston. A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies, 6:327-43., 1993.
K. Hout and S.Foulon. ADI finite difference schemes for option pricing in the heston model with correlation. International Journal of Numerical Analysis and Modeling, 7(2):303-320., 2010.
T. Kluge. Pricing derivatives in stochastic volatility models using the fi nite difference method. Web page, 2002.
A. L. Lewis. A simple option formula for general jump-diffusion and other exponential lévy processes. Envision Financial Systems and OptionCity.net, 2001.
N. G. Ramazan Gencay and D. Kukolj. Option pricing with modular neural networks. JEL No. C45; G12, 2008.
F. D. Rouah. The heston model and its extensions in matlab and c#. John Wiley & Sons, Inc., Hoboken, New Jersey, 2013.
C. W. O. Shuaiqiang Liu and S. M. Bohte. Pricing options and computing implied volatilities using neural networks. Risks, 7(1) (2019), 2019.
Repositorio EdocUR-U. Rosario
Universidad del Rosario
instacron:Universidad del Rosario
G. Cybenko. Approximation by superpositions of a sigmoidal function. Mathematics of Control, Signals and Systems, 1989.
D. N. Eric Chin and S. Ólafsson. Problems and solutions in mathematical fi nance (volume 1: Stochastic calculus). John Wiley & Sons, Ltd, 2014.
J. Gatheral. The volatility surface: A practitioner's guide. John Wiley & Sons, Ltd, 2006.
P. Gupta. Topics in laplace and fourier transforms. Laxmi Publications Pvt.Ltd., 2019.
S. L. Heston. A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies, 6:327-43., 1993.
K. Hout and S.Foulon. ADI finite difference schemes for option pricing in the heston model with correlation. International Journal of Numerical Analysis and Modeling, 7(2):303-320., 2010.
T. Kluge. Pricing derivatives in stochastic volatility models using the fi nite difference method. Web page, 2002.
A. L. Lewis. A simple option formula for general jump-diffusion and other exponential lévy processes. Envision Financial Systems and OptionCity.net, 2001.
N. G. Ramazan Gencay and D. Kukolj. Option pricing with modular neural networks. JEL No. C45; G12, 2008.
F. D. Rouah. The heston model and its extensions in matlab and c#. John Wiley & Sons, Inc., Hoboken, New Jersey, 2013.
C. W. O. Shuaiqiang Liu and S. M. Bohte. Pricing options and computing implied volatilities using neural networks. Risks, 7(1) (2019), 2019.
Repositorio EdocUR-U. Rosario
Universidad del Rosario
instacron:Universidad del Rosario
En esta tesis, implementamos el aprendizaje profundo para la fijación de precios de opciones. Se propone un enfoque basado en datos, a través de una red neuronal artificial (ANN), para calcular el precio de las opciones de compra europeas con el mo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::21c1d205352ec73bc1e5f60cdce9669a
https://repository.urosario.edu.co/handle/10336/20712
https://repository.urosario.edu.co/handle/10336/20712
