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Modelling option prices using neural networks


  • L.F. Hoogerheide
  • H.K. van Dijk


An efficient procedure is proposed to evaluate option prices using neural networks. The method considers alternatives to the procedures suggested by Hutchinson, Lo and Poggio in the Journal of Finance of 1994

Suggested Citation

  • L.F. Hoogerheide & H.K. van Dijk, 2006. "Modelling option prices using neural networks," Computing in Economics and Finance 2006 78, Society for Computational Economics.
  • Handle: RePEc:sce:scecfa:78

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    References listed on IDEAS

    1. Asea, Patrick K. & Zak, Paul J., 1999. "Time-to-build and cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 23(8), pages 1155-1175, August.
    2. Fabrice Collard & Omar Licandro & Luis A. Puch, 2008. "The short-run Dynamics of Optimal Growth Model with Delays," Annals of Economics and Statistics, GENES, issue 90, pages 127-143.
    3. Boucekkine, Raouf & Germain, Marc & Licandro, Omar, 1997. "Replacement Echoes in the Vintage Capital Growth Model," Journal of Economic Theory, Elsevier, vol. 74(2), pages 333-348, June.
    4. Boucekkine, Raouf & Licandro, Omar & Puch, Luis A. & del Rio, Fernando, 2005. "Vintage capital and the dynamics of the AK model," Journal of Economic Theory, Elsevier, vol. 120(1), pages 39-72, January.
    5. Fabrice Collard & Omar Licandro & Luis A. Puch, 2006. "Time-to-Build Echoes," Working Papers 2006-16, FEDEA.
    6. Benhabib, Jess & Rustichini, Aldo, 1991. "Vintage capital, investment, and growth," Journal of Economic Theory, Elsevier, vol. 55(2), pages 323-339, December.
    7. Mauro BAMBI & Omar LICANDRO, 2004. "(In)determinacy and Time-to-Build," Economics Working Papers ECO2004/17, European University Institute.
    8. Burnside, Craig & Eichenbaum, Martin, 1996. "Factor-Hoarding and the Propagation of Business-Cycle Shocks," American Economic Review, American Economic Association, vol. 86(5), pages 1154-1174, December.
    9. Greenwood, Jeremy & Hercowitz, Zvi & Huffman, Gregory W, 1988. "Investment, Capacity Utilization, and the Real Business Cycle," American Economic Review, American Economic Association, vol. 78(3), pages 402-417, June.
    10. Kydland, Finn E & Prescott, Edward C, 1982. "Time to Build and Aggregate Fluctuations," Econometrica, Econometric Society, vol. 50(6), pages 1345-1370, November.
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    More about this item


    options; neural networks;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics


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