Neural Networks as Semiparametric Option Pricing Tool

0333545 - ÚTIA 2010 CZ eng V - Research Report
Baruník, Jozef - Baruníková, M.
Neural Networks as Semiparametric Option Pricing Tool.
[Neuronové Sítě jako semiparametrická metoda oceňování opcí.]
Praha: ÚTIA AV ČR, 2009. 16 s. Research Report, 2266.
R&D Projects: GA ČR GA402/09/0965; GA ČR GD402/09/H045
Institutional research plan: CEZ:AV0Z10750506
Keywords : option valuation * neural network * S&P 500 index options
Subject RIV: AH - Economics

We study the ability of artificial neural networks to price the European style call and put options on the S&P 500 index.

Studie schopnosti neuronových sítí odcenit call a put opce na index S&P 500.
Permanent Link: http://hdl.handle.net/11104/0178497