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...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Book Chapter |
| Published: |
WIT Press
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/44135 |
| Summary: | 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 competing models. The hedging performance of the neural network, GARCH option-pricing model and the Black-Scholes are also analysed. |
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