Barrier option pricing: modelling with neural nets
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DOI: 10.1016/j.physa.2004.06.134
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- Mark Broadie & Paul Glasserman & Steven Kou, 1997. "A Continuity Correction for Discrete Barrier Options," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 325-349, October.
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Cited by:
- Johannes Ruf & Weiguan Wang, 2019. "Neural networks for option pricing and hedging: a literature review," Papers 1911.05620, arXiv.org, revised May 2020.
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Keywords
Up-and-out call option pricing; Neural net;Statistics
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