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.
- Language
-
Englisch
- Bibliographic citation
-
Series: IES Working Paper ; No. 16/2009
- Classification
-
Wirtschaft
Neural Networks and Related Topics
Contingent Pricing; Futures Pricing; option pricing
- Subject
-
option pricing
neural networks
Optionspreistheorie
Black-Scholes-Modell
Neuronale Netze
- Event
-
Geistige Schöpfung
- (who)
-
Vlasáková Baruníková, Michaela
- Event
-
Veröffentlichung
- (who)
-
Charles University in Prague, Institute of Economic Studies (IES)
- (where)
-
Prague
- (when)
-
2009
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Vlasáková Baruníková, Michaela
- Charles University in Prague, Institute of Economic Studies (IES)
Time of origin
- 2009
Other Objects (12)
The genesis of the Black-Scholes option pricing formula
The genesis of the Black-Scholes option pricing formula
Quanto pricing beyond Black-Scholes
Portfolio insurance and volatility : on the robustness of the Black-Scholes option pricing model
Importance sampling for option pricing with feedforward neural networks
When are Options Overpriced? The Black-Scholes Model and Alternative Characterisations of the Pricing Kernel.
When are Options Overpriced? : the Black-Scholes Model and Alternative Characterisation of the Pricing Kernel [[Elektronische Ressource]]
The airline pricing problem
The mechanism of synchronization in feed-forward neuronal networks
Using feed-forward networks to infer the activity of feed-back neuronal networks
Generalized multinomial CRR option pricing model and its Black-Scholes type limit
FFNSL: Feed-Forward Neural-Symbolic Learner
The genesis of the Black-Scholes option pricing formula
The genesis of the Black-Scholes option pricing formula
Quanto pricing beyond Black-Scholes
Portfolio insurance and volatility : on the robustness of the Black-Scholes option pricing model
Importance sampling for option pricing with feedforward neural networks
When are Options Overpriced? The Black-Scholes Model and Alternative Characterisations of the Pricing Kernel.
When are Options Overpriced? : the Black-Scholes Model and Alternative Characterisation of the Pricing Kernel [[Elektronische Ressource]]
The airline pricing problem
The mechanism of synchronization in feed-forward neuronal networks
Using feed-forward networks to infer the activity of feed-back neuronal networks
Generalized multinomial CRR option pricing model and its Black-Scholes type limit
FFNSL: Feed-Forward Neural-Symbolic Learner
The genesis of the Black-Scholes option pricing formula
The genesis of the Black-Scholes option pricing formula
Quanto pricing beyond Black-Scholes
Portfolio insurance and volatility : on the robustness of the Black-Scholes option pricing model
Importance sampling for option pricing with feedforward neural networks
When are Options Overpriced? The Black-Scholes Model and Alternative Characterisations of the Pricing Kernel.
When are Options Overpriced? : the Black-Scholes Model and Alternative Characterisation of the Pricing Kernel [[Elektronische Ressource]]
The airline pricing problem
The mechanism of synchronization in feed-forward neuronal networks
Using feed-forward networks to infer the activity of feed-back neuronal networks
Generalized multinomial CRR option pricing model and its Black-Scholes type limit