Black-Scholes Versus Neural Networks in Pricing FTSE 100 Options
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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|Date of creation:||2000|
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