Predicting Arbitrage-free American Option Prices Using Artificial Neural Network with Pseudo Inputs

IF 0.6 Q4 ENGINEERING, INDUSTRIAL Industrial Engineering and Management Systems Pub Date : 2021-06-30 DOI:10.7232/iems.2021.20.2.119

Younhee Lee, Youngdoo Son

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基于伪输入的人工神经网络预测无套利美式期权价格

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Industrial Engineering and Management Systems ENGINEERING, INDUSTRIAL-

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2.20

自引率

28.60%

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期刊介绍： Industrial Engineering and Management Systems (IEMS) covers all areas of industrial engineering and management sciences including but not limited to, applied statistics & data mining, business & information systems, computational intelligence & optimization, environment & energy, ergonomics & human factors, logistics & transportation, manufacturing systems, planning & scheduling, quality & reliability, supply chain management & inventory systems.

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