A NOVEL METHOD FOR ESTIMATING THE INVERSE FUNCTION OF BLACK-SCHOLES OPTION PRICING MODEL USING ARTIFICIAL NEURAL NETWORKS
Hasanabadi, Hamed Shafiee
Mayorga, Rene V.
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Black-Scholes (BS) model is a well-known model for pricing options. Option is a derivative financial instrument which gives its owner the right of buying the underlying asset at a pre specified date for a pre specified price. BS model calculates the option price using 5 input variables and parameters including current underlying price, strike price, time to maturity, interest rate and the volatility of the underlying asset price.