Comparing Conventional and Artificial Neural Network Models for the Pricing of Options

Comparing Conventional and Artificial Neural Network Models for the Pricing of Options

Paul Lajbcygier (Monash University, Australia)
Copyright: © 2002 |Pages: 16
DOI: 10.4018/978-1-930708-31-0.ch014
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Abstract

The pricing of options on futures is compared using conventional models and artificial neural networks. This work demonstrates superior pricing accuracy using the artificial neural networks in an important subset of the input parameter set.

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