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Machine learning versus econometric jump models in predictability and domain adaptability of index options
Jang, H.
; Lee, J.
Article
Issue Date
2019
Citation
Physica A: Statistical Mechanics and its Applications, v.513, pp.74 - 86
Publisher
Elsevier B.V.
Generative Bayesian neural network model for risk-neutral pricing of American index options
Jang, H.
; Lee, J.
Article
Issue Date
2019
Citation
Quantitative Finance, v.19, no.4, pp.587 - 603
Publisher
Routledge
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Lee, J.
2
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American index option market
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Bayesian neural network
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Financial option models
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Financial time series
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Gaussian process regression
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Generative Bayesian learning
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