Advanced Search
MyIDEAS: Login

Artificial Neural Network Enhanced Parametric Option Pricing

Contents:

Author Info

  • Panayiotis C. Andreou

    (University of Cyprus)

  • Chris Charalambous

    (University of Cyprus)

  • Spiros H. Martzoukos
Registered author(s):

    Abstract

    In this paper we explore ways that alleviate problems of nonparametric (artificial neural networks) and parametric option pricing models by combining the two. The resulting enhanced network model is compared to standard artificial neural networks and to parametric models with several historical and implied parameters. Empirical results using S\&P 500 index call options strongly support our approach.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://repec.org/sce2006/up.27825.1139911662.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 118.

    as in new window
    Length:
    Date of creation: 04 Jul 2006
    Date of revision:
    Handle: RePEc:sce:scecfa:118

    Contact details of provider:
    Email:
    Web page: http://comp-econ.org/
    More information through EDIRC

    Related research

    Keywords: Option pricing; implied volatilities; implied parameters; artificial neural networks; optimization;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:sce:scecfa:118. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.