Approximation by Radial-Basis Function networks - Application to option pricing
(2003) Connectionist Approaches in Economics and Management Sciences — p. 203-214, published
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- Abstract
- We propose a method of function approximation by radial basis function networks. We will demonstrate that this approximation method can be improved by a pre-treatment of data based on a linear model. This approximation method will be applied to option pricing. This choice justifies itself through the known nonlinear nature of the behavior of options price and through the effective contribution of the pre-treatment proposed for the implementation of radial basis function networks in this field.
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Lendasse, A., Lee, J., de Bodt, E., Wertz, V., & Verleysen, M. (2003). Approximation by Radial-Basis Function networks - Application to option pricing. In C. Lesage, M. Cottrell eds. (ed.), Connectionist Approaches in Economics and Management Sciences (p. p. 203-214). Kluwer academic publishers. https://hdl.handle.net/2078.5/253711