A neural network approach to option pricing
| dc.contributor.author | Mostafa, Fahed | |
| dc.contributor.author | Dillon, Tharam S. | |
| dc.contributor.editor | M Costantino | |
| dc.contributor.editor | M Larran | |
| dc.contributor.editor | C A Brebbia | |
| dc.date.accessioned | 2017-01-30T15:12:15Z | |
| dc.date.available | 2017-01-30T15:12:15Z | |
| dc.date.created | 2009-02-17T18:01:51Z | |
| dc.date.issued | 2008 | |
| dc.identifier.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. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/44135 | |
| dc.description.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. | |
| dc.publisher | WIT Press | |
| dc.subject | GARCH option pricing model | |
| dc.subject | option pricing | |
| dc.subject | implied volatility | |
| dc.subject | hedging | |
| dc.subject | neural networks | |
| dc.title | A neural network approach to option pricing | |
| dc.type | Book Chapter | |
| dcterms.source.startPage | 71 | |
| dcterms.source.endPage | 86 | |
| dcterms.source.title | Computational Finance and its Applications III | |
| dcterms.source.isbn | 9781845641115 | |
| dcterms.source.place | Southampton, UK | |
| dcterms.source.chapter | 21 | |
| curtin.department | Centre for Extended Enterprises and Business Intelligence | |
| curtin.accessStatus | Fulltext not available |