A NOVEL METHOD FOR ESTIMATING THE INVERSE FUNCTION OF BLACK-SCHOLES OPTION PRICING MODEL USING ARTIFICIAL NEURAL NETWORKS

Date
2014-05-20
Authors
Hasanabadi, Hamed Shafiee
Mayorga, Rene V.
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract

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.

Description
Keywords
Black-Scholes model, Artificial Neural Networks
Citation
Collections