A neural network approach to option pricing

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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...

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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

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