Hybrid artificial neural networks for efficient valuation of real options and financial derivatives

Chris Charalambous () and Spiros Martzoukos

Computational Management Science, 2005, vol. 2, issue 2, 155-161

Abstract: A hybrid valuation methodology is proposed and tested for improving the efficiency of contingent claims pricing by combining Artificial Neural Networks (ANN) and conventional parametric option pricing techniques. With one application on financial derivatives and one on real options the method’s superiority is demonstrated. The resulting efficiency is instrumental for real time applications. Copyright Springer-Verlag Berlin/Heidelberg 2005

Keywords: Artificial neural networks; financial derivatives; real options; path-dependency; switching costs (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s10287-004-0032-7

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