DocumentCode
295813
Title
A hybrid neural network approach to the pricing of options
Author
Boek, Christopher ; Lajbcygier, Paul ; Palaniswami, Marimuth ; Flitman, Andrew
Author_Institution
Dept. of Electr. & Electron. Eng., Melbourne Univ., Parkville, Vic., Australia
Volume
2
fYear
1995
fDate
Nov/Dec 1995
Firstpage
813
Abstract
A new method of pricing options is introduced. The method is based on the augmentation of a conventional model with an artificial neural network (ANN) trained on the difference between the standard model and actual options data. The pricing accuracy has been demonstrated using the actual All Ordinaries Share Price Index (AO SPI) options on futures. This hybrid approach is shown to provide greater accuracy than either standard model or ANN used alone
Keywords
costing; neural nets; securities trading; AO SPI; All Ordinaries Share Price Index; hybrid neural network; options pricing; Artificial neural networks; Consumer electronics; Contracts; Differential equations; Function approximation; Investments; Neural networks; Pricing; Security; Share prices;
fLanguage
English
Publisher
ieee
Conference_Titel
Neural Networks, 1995. Proceedings., IEEE International Conference on
Conference_Location
Perth, WA
Print_ISBN
0-7803-2768-3
Type
conf
DOI
10.1109/ICNN.1995.487522
Filename
487522
Link To Document