A neural network approach to option pricing
Abstract
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.
Citation
Mostafa, Fahed and Dillon, Tharam. 2008. A neural network approach to option pricing, in M Costantino, M Larran and C A Brebbia (ed), Computational Finance and its Applications III. pp. 71-86. Southampton, UK: WIT Press.
Source Title
Computational Finance and its Applications III
ISBN
School
Centre for Extended Enterprises and Business Intelligence
Collection
Related items
Showing items related by title, author, creator and subject.
-
Mostafa, Fahed. (2011)Market risk refers to the potential loss that can be incurred as a result of movements inmarket factors. Capturing and measuring these factors are crucial in understanding andevaluating the risk exposure associated with ...
-
Chow, Chi Ngok (2010)The largest wool exporter in the world is Australia, where wool being a major export is worth over AUD $2 billion per year and constitutes about 17 per cent of all agricultural exports. Most Australian wool is sold by ...
-
Alkroosh, Iyad Salim Jabor (2011)This thesis presents the development of numerical models which are intended to be used to predict the bearing capacity and the load-settlement behaviour of pile foundations embedded in sand and mixed soils. Two artificial ...