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Valuing and Hedging American Put Options Using Neural Networks

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  • David Kelly
  • Jamsheed Shorish

Abstract

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  • David Kelly & Jamsheed Shorish, 1994. "Valuing and Hedging American Put Options Using Neural Networks," GSIA Working Papers 8, Carnegie Mellon University, Tepper School of Business.
    • Handle: RePEc:cmu:gsiawp:8
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    File URL: http://student-3k.tepper.cmu.edu/gsiadoc/bighurt/Dave_Kelly/options_using_neural_nets.pdf
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    Cited by:

    1. Lei Fan & Justin Sirignano, 2024. "Machine Learning Methods for Pricing Financial Derivatives," Papers 2406.00459, arXiv.org.
    2. Raquel M. Gaspar & Sara D. Lopes & Bernardo Sequeira, 2020. "Neural Network Pricing of American Put Options," Risks, MDPI, vol. 8(3), pages 1-24, July.
    3. Julia Bennell & Charles Sutcliffe, 2004. "Black–Scholes versus artificial neural networks in pricing FTSE 100 options," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 12(4), pages 243-260, October.
    4. Yanhui Shen, 2023. "American Option Pricing using Self-Attention GRU and Shapley Value Interpretation," Papers 2310.12500, arXiv.org.
    5. Fei Chen & Charles Sutcliffe, 2012. "Pricing And Hedging Short Sterling Options Using Neural Networks," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 19(2), pages 128-149, April.

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