Pricing and hedging derivative securities with neural networks and a homogeneity hint

Article Abstract:

Use of the homogeneity approach and learning networks to analyze how the derivative securities are priced and hedged is discussed. Models of the nonparametric method used for pricing call options are offered. Additional details regarding learning neural networks are also provided.

Computer networks, Neural networks

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Econometric specification of the risk neutral valuation model

Article Abstract:

Use of an econometric model implying a risk neutral measure to analyze the relationship between prices of derivative securities is discussed. The stochastic approach used in evaluating the prices of derivative assets is also discussed.

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Pricing and hedging long-term options

Article Abstract:

Various models used to analyze hedging and pricing of long-term options vs short-term options are discussed. Additional information on the four alternative models used to analyze option prices is also included.

Evaluation, Options (Finance), Pricing

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