Computational methods in finance: option pricing

Computational methods in finance: option pricing

Many computational methods familiar to scientists and engineers are now heavily used in today's financial markets. This survey looks at the history and the state of the art for one branch of computational finance, and explains why neural networks show special promise in setting correct prices f...

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Veröffentlicht in:IEEE computational science & engineering 1996-01, Vol.3 (1), p.66-80
Hauptverfasser: Barucci, E., Landi, L., Cherubini, U.
Format: Artikel
Sprache:eng
Schlagworte:
Buildings
Closed-form solution
Design engineering
Diffusion processes
Finance
Gold
Partial differential equations
Pricing
Stochastic processes
Terminology
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Beschreibung
Zusammenfassung:Many computational methods familiar to scientists and engineers are now heavily used in today's financial markets. This survey looks at the history and the state of the art for one branch of computational finance, and explains why neural networks show special promise in setting correct prices for options.
ISSN:1070-9924
1558-190X
DOI:10.1109/99.486762