bibtype V - Research Report
ARLID 0333545
utime 20240103192514.1
mtime 20091215235959.9
title (primary) (eng) Neural Networks as Semiparametric Option Pricing Tool
publisher
place Praha
name ÚTIA AV ČR
pub_time 2009
specification
page_count 16 s.
edition
name Research Report
volume_id 2266
title (cze) Neuronové Sítě jako semiparametrická metoda oceňování opcí
keyword option valuation
keyword neural network
keyword S&P 500 index options
author (primary)
ARLID cav_un_auth*0242028
name1 Baruník
name2 Jozef
institution UTIA-B
full_dept Department of Econometrics
fullinstit Ústav teorie informace a automatizace AV ČR, v. v. i.
author
ARLID cav_un_auth*0257115
name1 Baruníková
name2 M.
country CZ
cas_special
project
project_id GA402/09/0965
agency GA ČR
ARLID cav_un_auth*0253176
project
project_id GD402/09/H045
agency GA ČR
ARLID cav_un_auth*0253998
research CEZ:AV0Z10750506
abstract (eng) We study the ability of artificial neural networks to price the European style call and put options on the S&P 500 index.
abstract (cze) Studie schopnosti neuronových sítí odcenit call a put opce na index S&P 500.
reportyear 2010
RIV AH
permalink http://hdl.handle.net/11104/0178497
arlyear 2009
mrcbU10 2009
mrcbU10 Praha ÚTIA AV ČR