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Pricing vanilla options using artificial neural networks: Application to the South African market.
- Source :
- Cogent Economics & Finance; Jan 2021, Vol. 9 Issue 1, p1-15, 15p
- Publication Year :
- 2021
-
Abstract
- 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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 23322039
- Volume :
- 9
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Cogent Economics & Finance
- Publication Type :
- Academic Journal
- Accession number :
- 154319938
- Full Text :
- https://doi.org/10.1080/23322039.2021.1914285