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Black-Scholes Versus Neural Networks in Pricing FTSE 100 Options

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Author Info

  • Bennell, J.
  • Sutcliffe, C.

Abstract

This paper compares the performance of Black-Scholes with an artificial neural network (ANN) in pricing European style call options on the FTSE 100 index. It is the first to study the performance of ANNs in pricing UK options, and the first to allow for dividends in the closed-form model and the ANN.

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Bibliographic Info

Paper provided by University of Southampton - Department of Accounting and Management Science in its series Papers with number 00-156.

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Length: 16 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:fth:sotoam:00-156

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Postal: University of Southampton, Department of Accounting & Mangement Science, Southampton S09 5NH UK.
Phone: 44 0173 592537/592555
Fax: 44 0173 593858
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Web page: http://www.soton.ac.uk/~econweb/
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Web: http://www.soton.ac.uk/~econweb/dp/discp.html

Related research

Keywords: PERFORMANCE ; DIVIDENDS ; INDEXES;

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