Searched for: author%3A%22Oosterlee%2C+C.W.%22
(1 - 2 of 2)
document
Liu, S. (author), Oosterlee, C.W. (author), Bohte, Sander M. (author)
This paper proposes a data-driven approach, by means of an Artificial Neural Network (ANN), to value financial options and to calculate implied volatilities with the aim of accelerating the corresponding numerical methods. With ANNs being universal function approximators, this method trains an optimized ANN on a data set generated by a...
journal article 2019
document
Liu, S. (author), Borovykh, Anastasia (author), Grzelak, L.A. (author), Oosterlee, C.W. (author)
A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial asset price models using an Artificial Neural Network (ANN). Determining optimal values of the model parameters is formulated as training hidden neurons within a machine learning framework, based on available financial option prices. The...
journal article 2019