A hybrid option pricing model using a neural network for estimating volatility

DOI10.1080/03081070701210303zbMath1133.91401OpenAlexW2088946350MaRDI QIDQ5449006

Sunisa Amornwattana, Cihan H. Dagli, David Enke

Publication date: 10 March 2008

Published in: International Journal of General Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03081070701210303

zbMATH Keywords

neural networksoption pricingBlack-Scholeshybrid model

Mathematics Subject Classification ID

Neural networks for/in biological studies, artificial life and related topics (92B20) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Option pricing: A simplified approach
• On Estimation of a Probability Density Function and Mode

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