Barrier Options and Greeks: Modeling with Neural Networks
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DOI: 10.3390/axioms12040384
Abstract: This paper proposes a non-parametric technique of option valuation and hedging. Here, we replicate the extended Black–Scholes pricing model for the exotic barrier options and their corresponding Greeks using the fully connected feed-forward neural network.… read more here.
Keywords: neural network; greeks modeling; methodology; options greeks ... See more keywords