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Ken Uzawa

Mizuho Securities

Tokyo

100-0004

Japan

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Scholarly Papers (1)

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Artificial Neural Network for Option Pricing with and Without Asymptotic Correction

Quantitative Finance, 2021, 21(4), 575-592
Posted: 10 Oct 2019 Last Revised: 06 Mar 2026
Hideharu Funahashi and Ken Uzawa
Kanagawa University and Mizuho Securities

Abstract:

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artificial neural network,Wiener-Ito chaos expansion, option pricing, stochastic volatility model, mean-reverting process, implied volatility, European option, barrier option