Arbeitspapier
Option pricing: The empirical tests of the black-scholes pricing formula and the feed-forward network
In this article we evaluate the pricing performance of the rather simple but revolutionary Black-Scholes model and one of the more complex techniques (neural networks) on the European-style S&P Index call and put options over the period of 1.6.2006 till 8.6.2007. Our results on call options show that generally Black-Scholes model performs better than simple generalized feed-forward networks. On the other hand neural networks performance is improving as the option goes deep in the money and as days to expiration increase, compared to the worsening performance of the BS models. Neural networks seem to correct for the well-known Black-Scholes model moneyness and maturity biases.
- Sprache
-
Englisch
- Erschienen in
-
Series: IES Working Paper ; No. 16/2009
- Klassifikation
-
Wirtschaft
Neural Networks and Related Topics
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
option pricing
neural networks
Optionspreistheorie
Black-Scholes-Modell
Neuronale Netze
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Vlasáková Baruníková, Michaela
- Ereignis
-
Veröffentlichung
- (wer)
-
Charles University in Prague, Institute of Economic Studies (IES)
- (wo)
-
Prague
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Vlasáková Baruníková, Michaela
- Charles University in Prague, Institute of Economic Studies (IES)
Entstanden
- 2009
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