Improving the pricing of options: a neural network approach

Article Abstract:

Parsimonious neural networks with excellent out-of-sample performance compared to the Black/Scholes model are generated from statistical specification strategies, affirming the latter's successful application in improving the pricing of the options through neural networks. This was concluded from the application of statistical inference techniques to the construction of neural network models which can explain the prices of call options on the German stock index Deutscher Aktien Index. Results affirm the use of statistical methods for model specification and inference in neural networks.

Securities and Commodity Exchanges, Security and commodity exchanges, Securities Exchanges, Pricing Policy, Usage, Exchanges, Options (Finance), Pricing, Statistics (Mathematics), Mathematical statistics

---

Predicting LDC debt rescheduling: performance evaluation of OLS, logit, and neural network models

Article Abstract:

Various mathematical models are tested to determine their value in forecasting debt rescheduling for developing countries. Newer models, such as neural networks, are as effective as older models, such as ordinary least squares and logits.

Developing Countries, Statistical Data Included, Finance, Mathematical models, External debt relief, Debt relief, Forecasting, Logits, Least squares

---

A neural network versus Black-Scholes: a comparison of pricing and hedging performances

Article Abstract:

The superiority of neural network models for hedging and pricing derivative securities is discussed.

Europe, Commodity & service prices, Security and Commodity Services, Securities & Commodities Services, Securities, Commodity Contracts, and Other Financial Investments and Related Activities, Derivatives (Financial instruments), Securities industry, Neural network, Company pricing policy

Similar abstracts:

• Abstracts: Forecasting stock prices using a hierarchical Bayesian approach. Modelling a traffic network with missing data
• Abstracts: Can panel data really improve the predictability of the monetary exchange rate model? Modelling the frequency and severity of extreme exchange rate returns

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.