Pricing vanilla options using artificial neural networks: Application to the South African market

被引：3
|
作者：
du Plooy, Ryno [1 ]
Venter, Pierre J. [1 ]
机构：
[1] Univ Johannesburg, Dept Finance & Investment Management, Auckland Pk, ZA-2006 Johannesburg, South Africa
来源：
COGENT ECONOMICS & FINANCE | 2021年 / 9卷 / 01期
关键词：
Artificial intelligence; European call options; financial derivatives; implied volatility; Johannesburg Stock Exchange ([!text type='JS']JS[!/text]E); machine learning; neural networks;
D O I：
10.1080/23322039.2021.1914285
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页数：15
相关论文
共 50 条
  • [41] Market research applications of artificial neural networks
    Azcarraga, Amulfo P.
    Hsieh, Ming-Huei
    Setiono, Rudy
    [J]. 2008 IEEE CONGRESS ON EVOLUTIONARY COMPUTATION, VOLS 1-8, 2008, : 357 - +
  • [42] Real options pricing based on BP neural networks and-GA
    Wu, LY
    Ma, WW
    Wu, C
    [J]. PROCEEDINGS OF THE 2004 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, VOLS 1 AND 2, 2004, : 224 - 228
  • [43] Markov Switching Artificial Neural Networks for Modelling and Forecasting Volatility: An Application to Gold Market
    Bildirici, Melike
    Ersin, Ozgur
    [J]. 5TH ISTANBUL CONFERENCE OF ECONOMICS AND FINANCE, 2016, 38 : 106 - 121
  • [44] ARTIFICIAL NEURAL NETWORKS AND THEIR APPLICATION TO WEAPONS
    WEBSTER, WP
    SHUMAKER, RP
    WARE, JR
    [J]. NAVAL ENGINEERS JOURNAL, 1991, 103 (04) : 96 - 98
  • [45] An application of artificial neural networks in linguistics
    Zupan, J
    [J]. SCIENTIFIC APPLICATIONS OF NEURAL NETS, 1999, 522 : 224 - 242
  • [46] An application of artificial neural networks in the classroom
    University of Southern Mississippi
    不详
    不详
    [J]. Computers in Education Journal, 2003, 13 (02): : 47 - 57
  • [47] Application of artificial neural networks to chemostratigraphy
    Malmgren, BA
    Nordlund, U
    [J]. PALEOCEANOGRAPHY, 1996, 11 (04): : 505 - 512
  • [48] Design and Application of Artificial Neural Networks for Predicting the Values of Indexes on the Bulgarian Stock Market
    Shahpazov, Veselin L.
    Velev, Vladimir B.
    Doukovska, Lyubka A.
    [J]. 2013 SIGNAL PROCESSING SYMPOSIUM (SPS), 2013,
  • [49] Application of artificial neural networks in anesthesiology
    Kück, K
    Haryadi, DG
    Westenskow, DR
    [J]. STATE-OF-THE-ART TECHNOLOGY IN ANESTHESIA AND INTENSIVE CARE, 1998, 1168 : 201 - 213
  • [50] ARTIFICIAL NEURAL NETWORKS AND THEIR APPLICATION TO WEAPONS
    WEBSTER, WP
    [J]. NAVAL ENGINEERS JOURNAL, 1991, 103 (03) : 46 - 59
12345