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 behaviour 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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© 2003 Springer Science+Business Media Dordrecht
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Lendasse, A., Lee, J., De Bodt, E., Wertz, V., Verleysen, M. (2003). Approximation by radial basis function networks. In: Lesage, C., Cottrell, M. (eds) Connectionist Approaches in Economics and Management Sciences. Advances in Computational Management Science, vol 6. Springer, Boston, MA. https://doi.org/10.1007/978-1-4757-3722-6_10
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DOI: https://doi.org/10.1007/978-1-4757-3722-6_10
Publisher Name: Springer, Boston, MA
Print ISBN: 978-1-4419-5379-7
Online ISBN: 978-1-4757-3722-6
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