Barrier option pricing: modelling with neural nets

L. Xu, M. Dixon, B.A. Eales, F.F. Cai, B.J. Read and J.V. Healy

Physica A: Statistical Mechanics and its Applications, 2004, vol. 344, issue 1, 289-293

Abstract: We report call option pricing for up-and-out style barrier options through the use of a neural net model. A synthetic data set was constructed from the real LIFFE standard option price data by use of the Rubenstein and Reiner analytic model (Risk September (1991) 28). Unbiased estimates at the 95% confidence level were achieved for realistic barriers (barrier 4% or more above max(S0,X)).

Keywords: Up-and-out call option pricing; Neural net (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:344:y:2004:i:1:p:289-293

DOI: 10.1016/j.physa.2004.06.134

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