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dc.contributor.authorMostafa, Fahed
dc.contributor.authorDillon, Tharam S.
dc.contributor.editorM Costantino
dc.contributor.editorM Larran
dc.contributor.editorC A Brebbia
dc.identifier.citationMostafa, 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.

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.

dc.publisherWIT Press
dc.subjectGARCH option pricing model
dc.subjectoption pricing
dc.subjectimplied volatility
dc.subjectneural networks
dc.titleA neural network approach to option pricing
dc.typeBook Chapter
dcterms.source.titleComputational Finance and its Applications III
dcterms.source.placeSouthampton, UK
curtin.departmentCentre for Extended Enterprises and Business Intelligence
curtin.accessStatusFulltext not available

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