Bibliografia

• Anders, U. Korn, O. Schimitt, C. “Improving the pricing of options: a neural network approach” Journal of forecasting 17, 1998, 369-388.

• Bates, D.S., “Testing options pricing models”, in Statistical Methods in Finance, G.S. Maddala and C.R. Rao, eds, (Elsevier) 1996.

• Billio, M. and Pelizzon, L., “Pricing options with switching volatility” Working paper Greta 1997.

• Black, F. and M. Scholes, “The pricing of options and corporate liabilities”, Journal of Political Economy 81, 1973, pagg. 637-659. • Bollen, N., “A lattice for valuing options in regimeswitching models” Working paper, Duke University, 1997. • Cox, J.C., Ross S. A., and Rubinsten M., “Option pricing: A simplified approach”, Journal of Financial Economics 7, 1979, pagg. 229-263.

• Hamilton J. D. “Time series analysis” Princeton University Press, 1994 pagg. 677-703.

• Hertz J., Krogh A. and Palmer R. “Introduction to the theory of neural computing” Addison-Wesley, 1991.

• Hornik K., Stinchcombe M. and White H. “Multilayer feedforward networks are universal approsimators”, Neural networks 2, 1989, pagg. 359-366.

• Hull J.C., “Opzioni futures e altri derivati”, il sole 24 ore, 1997.

• Hutchinson J.M., Lo A., Poggio T. “A nonparametric approach to pricing and hedging derivatives securities via learning networks”, Journal of Finance 94, 1994, pagg. 851-889.

• Merton, R.C., “Theory of rational option pricing”, Bell Journal of economics and management science 4, 1973, pagg. 141-183. • Rubinstein M., “Implied binomial tree” Journal of finance 49, 1994, pagg. 771-818.

• Sartore D., a cura di, “Gli strumenti derivati – Analizzare prevedere e coprire i rischi finanziari nelle imprese”, IPSOA, 1999 • Taylor, S. , “Modeling Stochastic volatility: a review and comparative study”, Mathematical finance 4, 1994.

M.Billio, M. Corazza, M. Gobbo