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 |
| _version_ | 1848756910497464320 |
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| author | Mostafa, Fahed Dillon, Tharam S. |
| author2 | M Costantino |
| author_facet | M Costantino Mostafa, Fahed Dillon, Tharam S. |
| author_sort | Mostafa, Fahed |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T09:19:42Z |
| format | Book Chapter |
| id | curtin-20.500.11937-44135 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:19:42Z |
| publishDate | 2008 |
| publisher | WIT Press |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-441352022-12-07T06:50:50Z A neural network approach to option pricing Mostafa, Fahed Dillon, Tharam S. M Costantino M Larran C A Brebbia GARCH option pricing model option pricing implied volatility hedging neural networks 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. 2008 Book Chapter http://hdl.handle.net/20.500.11937/44135 WIT Press restricted |
| spellingShingle | GARCH option pricing model option pricing implied volatility hedging neural networks Mostafa, Fahed Dillon, Tharam S. A neural network approach to option pricing |
| title | A neural network approach to option pricing |
| title_full | A neural network approach to option pricing |
| title_fullStr | A neural network approach to option pricing |
| title_full_unstemmed | A neural network approach to option pricing |
| title_short | A neural network approach to option pricing |
| title_sort | neural network approach to option pricing |
| topic | GARCH option pricing model option pricing implied volatility hedging neural networks |
| url | http://hdl.handle.net/20.500.11937/44135 |