Browsing GI-M2NICA - Artigos by Author "Borovykh, Anastasia"
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On a Neural Network to Extract Implied Information from American Options
Liu, Shuaiqiang; Leitao, Álvaro; Borovykh, Anastasia; Oosterlee, Cornelis (Routledge, 2022)[Abstract] Extracting implied information, like volatility and dividend, from observed option prices is a challenging task when dealing with American options, because of the complex-shaped early-exercise regions and the ...