Modelling option prices using neural networks

L.F. Hoogerheide and Herman van Dijk

No 78, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: An efficient procedure is proposed to evaluate option prices using neural networks. The method considers alternatives to the procedures suggested by Hutchinson, Lo and Poggio in the Journal of Finance of 1994

Keywords: options; neural networks (search for similar items in EconPapers)
JEL-codes: C45 G12 (search for similar items in EconPapers)
Date: 2006-07-04
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecfa:78

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