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We study neural networks as nonparametric estimation tools for the hedging of options.
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Empirical performance of alternative option pricing models
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Using a financial training criterion rather than a prediction criterion
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Market Microstructure Theory
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Nonparametric methods and option pricing
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Do call prices and the underlying stock always move in the same direction?
G. Bakshi, C. Cao, and Z. Chen · 2000
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When is time continuous?
D. Bertsimas, L. Kogan, and A. W. Lo · 2000
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Pricing and hedging derivative securities with neural networks and a homogeneity hint
R. Garcia and R. Gençay · 2000
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Dynamics of implied volatility surfaces
R. Cont and J. Da Fonseca · 2002
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Alternative neural network approach for option pricing and hedging
A. P. Carverhill and T. H. Cheuk · 2003
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The focused information criterion
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R. Cont and Y. H. Kan · 2011
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Deep sparse rectifier neural networks
X. Glorot, A. Bordes, and Y. Bengio · 2011
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Regime-dependent smile-adjusted delta hedging
C. Alexander, A. Rubinov, M. Kalepky, and S. Leontsinis · 2012
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ImageNet classification with deep convolutional neural networks
A. Krizhevsky, I. Sutskever, and G. E. Hinton · 2012
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On the performance of delta hedging strategies in exponential Lévy models
S. Denkl, M. Goy, J. Kallsen, J. Muhle-Karbe, and A. Pauwels · 2013
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Adam: a method for stochastic optimization
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