Black-Scholes Versus Neural Networks in Pricing FTSE 100 Options

J. Bennell and Charles Sutcliffe

Working Papers from University of Southampton - Department of Accounting and Management Science

Abstract: This paper compares the performance of Black-Scholes with an artificial neural network (ANN) in pricing European style call options on the FTSE 100 index. It is the first to study the performance of ANNs in pricing UK options, and the first to allow for dividends in the closed-form model and the ANN.

Keywords: PERFORMANCE; DIVIDENDS; INDEXES (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2000
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Citations: View citations in EconPapers (8)

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