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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2022
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| 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 |