A neural network approach to option pricing

A neural network approach to option pricing

In this paper the pricing performance of the artificial neural network is compared to the Black-Scholes and the GARCH option-pricing model. The artificial neural network is trained on the implied volatility rather then the option price, which leads to an improved performance when compared to the com...

Full description

Bibliographic Details
Main Authors: Mostafa, Fahed, Dillon, Tharam S.
Other Authors: M Costantino
Format: Book Chapter
Published: WIT Press 2008
Subjects:
GARCH option pricing model
option pricing
implied volatility
hedging
neural networks
Online Access:http://hdl.handle.net/20.500.11937/44135

Internet

http://hdl.handle.net/20.500.11937/44135

Similar Items