Pricing vanilla options using artificial neural networks: Application to the South African market

Pricing vanilla options using artificial neural networks: Application to the South African market

In this paper, a feed-forward artificial neural network (ANN) is used to price Johannesburg Stock Exchange (JSE) Top 40 European call options using a constructed implied volatility surface. The prices generated by the ANN were compared to the prices obtained using the Black-Scholes (BS) model. It wa...

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Bibliographic Details
Main Authors: Ryno du Plooy, Pierre J. Venter
Format: Article
Language:English
Published: Taylor & Francis Group 2021-01-01
Series:Cogent Economics & Finance
Subjects:
artificial intelligence
european call options
financial derivatives
implied volatility
johannesburg stock exchange (jse)
machine learning
neural networks
Online Access:http://dx.doi.org/10.1080/23322039.2021.1914285

Internet

http://dx.doi.org/10.1080/23322039.2021.1914285

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