Curtin University Homepage
  • Library
  • Help
    • Admin

    espace - Curtin’s institutional repository

    JavaScript is disabled for your browser. Some features of this site may not work without it.
    View Item 
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item

    A neural network approach to option pricing

    Access Status
    Fulltext not available
    Authors
    Mostafa, Fahed
    Dillon, Tharam S.
    Date
    2008
    Type
    Book Chapter
    
    Metadata
    Show full item record
    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
    9781845641115
    School
    Centre for Extended Enterprises and Business Intelligence
    URI
    http://hdl.handle.net/20.500.11937/44135
    Collection
    • Curtin Research Publications
    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.

    Related items

    Showing items related by title, author, creator and subject.

    • Applications of neural networks in market risk
      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 ...
    • Modelling the structure of Australian Wool Auction prices
      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 ...
    • Modelling pile capacity and load-settlement behaviour of piles embedded in sand & mixed soils using artificial intelligence
      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 ...
    Advanced search

    Browse

    Communities & CollectionsIssue DateAuthorTitleSubjectDocument TypeThis CollectionIssue DateAuthorTitleSubjectDocument Type

    My Account

    Admin

    Statistics

    Most Popular ItemsStatistics by CountryMost Popular Authors

    Follow Curtin

    • 
    • 
    • 
    • 
    • 

    CRICOS Provider Code: 00301JABN: 99 143 842 569TEQSA: PRV12158

    Copyright | Disclaimer | Privacy statement | Accessibility

    Curtin would like to pay respect to the Aboriginal and Torres Strait Islander members of our community by acknowledging the traditional owners of the land on which the Perth campus is located, the Whadjuk people of the Nyungar Nation; and on our Kalgoorlie campus, the Wongutha people of the North-Eastern Goldfields.