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Artificial Neural Network Enhanced Parametric Option Pricing


  • Panayiotis C. Andreou

    (University of Cyprus)

  • Chris Charalambous

    (University of Cyprus)

  • Spiros H. Martzoukos


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.

Suggested Citation

  • Panayiotis C. Andreou & Chris Charalambous & Spiros H. Martzoukos, 2006. "Artificial Neural Network Enhanced Parametric Option Pricing," Computing in Economics and Finance 2006 118, Society for Computational Economics.
  • Handle: RePEc:sce:scecfa:118

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    References listed on IDEAS

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    More about this item


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

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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