Unlocking the black box: Non-parametric option pricing before and during COVID-19

This paper addresses the interpretability problem of non-parametric option pricing models by using the explainable artificial intelligence (XAI) approach. We study call options written on the S&P 500 stock market index across three market regimes: pre-COVID-19, COVID-19 market crash, and post-CO...

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Detalles Bibliográficos
Autores principales: Gradojevic, Nikola, Kukolj, Dragan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2022
Materias:
S.I. : Risk and Uncertainty Modelling in Financial and Economic Systems
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8874738/
https://www.ncbi.nlm.nih.gov/pubmed/35233127
http://dx.doi.org/10.1007/s10479-022-04578-7

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8874738/
https://www.ncbi.nlm.nih.gov/pubmed/35233127
http://dx.doi.org/10.1007/s10479-022-04578-7

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