Original title:
Neural Networks as Semiparametric Option Pricing Tool
Translated title:
Neuronové Sítě jako semiparametrická metoda oceňování opcí
Authors:
Baruník, Jozef ; Baruníková, M. Document type: Research reports
Year:
2009
Language:
eng Series:
Research Report, volume: 2266 Abstract:
[eng][cze] We study the ability of artificial neural networks to price the European style call and put options on the S&P 500 index.Studie schopnosti neuronových sítí odcenit call a put opce na index S&P 500.
Keywords:
neural network; option valuation; S&P 500 index options Project no.: CEZ:AV0Z10750506 (CEP), GA402/09/0965 (CEP), GD402/09/H045 (CEP) Funding provider: GA ČR, GA ČR
Institution: Institute of Information Theory and Automation AS ČR
(web)
Document availability information: Fulltext is available at the institute of the Academy of Sciences. Original record: http://hdl.handle.net/11104/0178497