A nonparametric approach to pricing and hedging derivative securities via learning networks / James M. Hutchinson, Andrew W. Lo, Tomaso Poggio

Author:: Hutchinson, James M.
Published:: Cambridge, MA : National Bureau of Economic Research, [1994]
Physical Description:: 49 pages : illustrations ; 22 cm.
Additional Creators:: Lo, Andrew W. (Andrew Wen-Chuan), Poggio, Tomaso, and National Bureau of Economic Research

Online Version

papers.nber.org

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Series:

NBER working paper series ; working paper no. 4718

Subject(s):

Options (Finance)—Econometric models
Futures—Econometric models
Derivative securities—Econometric models
Finance—Mathematical models

Note:

Research supported by an ARPA AASERT grant administered under the Office of Naval Research contract N00014-92-J-1879. Additional support by the Office of Naval Research contract N00014-93-1-0385 and the National Science Foundation contract ASC-9217041.
"April 1994."

Bibliography Note:

Includes bibliographical references (pages 47-49).

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