Artikel
Pricing vanilla options using artificial neural networks: Application to the South African market
In this paper, a feed-forward artificial neural network (ANN) is used to price Johannesburg Stock Exchange (JSE) Top 40 European call options using a constructed implied volatility surface. The prices generated by the ANN were compared to the prices obtained using the Black-Scholes (BS) model. It was found that the pricing performance of the ANN significantly improves when the number of training samples are increased and that ANNs are able to price European call options in the South African market with a high degree of accuracy.
- Language
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Englisch
- Bibliographic citation
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Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 9 ; Year: 2021 ; Issue: 1 ; Pages: 1-15
- Classification
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Wirtschaft
- Subject
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Artificial intelligence
European call options
financial derivatives
implied volatility
Johannesburg Stock Exchange (JSE)
machine learning
neural networks
- Event
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Geistige Schöpfung
- (who)
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Du Plooy, Ryno
Venter, Pierre J.
- Event
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Veröffentlichung
- (who)
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Taylor & Francis
- (where)
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Abingdon
- (when)
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2021
- DOI
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doi:10.1080/23322039.2021.1914285
- Handle
- Last update
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10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Du Plooy, Ryno
- Venter, Pierre J.
- Taylor & Francis
Time of origin
- 2021
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