DC Field | Value | Language |
---|---|---|
dc.contributor.author | Choi, HJ | - |
dc.contributor.author | Lee, HS | - |
dc.contributor.author | Han, GS | - |
dc.contributor.author | Lee, J | - |
dc.date.accessioned | 2016-03-31T12:16:49Z | - |
dc.date.available | 2016-03-31T12:16:49Z | - |
dc.date.created | 2009-02-28 | - |
dc.date.issued | 2004-01 | - |
dc.identifier.issn | 0302-9743 | - |
dc.identifier.other | 2004-OAK-0000004499 | - |
dc.identifier.uri | https://oasis.postech.ac.kr/handle/2014.oak/17743 | - |
dc.description.abstract | Nonparametric approaches of option pricing have recently emerged as alternative approaches that complement traditional parametric approaches. In this paper, we propose a novel neural network learning algorithm for option-pricing, which is a nonparametric approach. The proposed method is devised to improve generalization and computing time. Experimental results are conducted for the KOSPI200 index daily call options and demonstrate a significant performance improvement to reduce test error compared to other existing techniques. | - |
dc.description.statementofresponsibility | X | - |
dc.language | English | - |
dc.publisher | SPRINGER-VERLAG BERLIN | - |
dc.relation.isPartOf | LECTURE NOTES IN COMPUTER SCIENCE | - |
dc.subject | HEDGING DERIVATIVE SECURITIES | - |
dc.subject | ALGORITHM | - |
dc.title | Efficient option pricing via a globally regularized neural network | - |
dc.type | Article | - |
dc.contributor.college | 산업경영공학과 | - |
dc.identifier.doi | 10.1007/978-3-540-28648-6_157 | - |
dc.author.google | Choi, HJ | - |
dc.author.google | Lee, HS | - |
dc.author.google | Han, GS | - |
dc.author.google | Lee, J | - |
dc.relation.volume | 3174 | - |
dc.relation.startpage | 988 | - |
dc.relation.lastpage | 993 | - |
dc.contributor.id | 10081901 | - |
dc.relation.journal | LECTURE NOTES IN COMPUTER SCIENCE | - |
dc.relation.index | SCI급, SCOPUS 등재논문 | - |
dc.relation.sci | SCIE | - |
dc.collections.name | Conference Papers | - |
dc.type.rims | ART | - |
dc.identifier.bibliographicCitation | LECTURE NOTES IN COMPUTER SCIENCE, v.3174, pp.988 - 993 | - |
dc.identifier.wosid | 000223502900157 | - |
dc.date.tcdate | 2019-01-01 | - |
dc.citation.endPage | 993 | - |
dc.citation.startPage | 988 | - |
dc.citation.title | LECTURE NOTES IN COMPUTER SCIENCE | - |
dc.citation.volume | 3174 | - |
dc.contributor.affiliatedAuthor | Lee, J | - |
dc.identifier.scopusid | 2-s2.0-24944432383 | - |
dc.description.journalClass | 1 | - |
dc.description.journalClass | 1 | - |
dc.description.wostc | 5 | - |
dc.type.docType | Article; Proceedings Paper | - |
dc.relation.journalWebOfScienceCategory | Automation & Control Systems | - |
dc.relation.journalWebOfScienceCategory | Computer Science, Artificial Intelligence | - |
dc.relation.journalWebOfScienceCategory | Computer Science, Theory & Methods | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Automation & Control Systems | - |
dc.relation.journalResearchArea | Computer Science | - |
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