Author/Authors :
L. Xu، نويسنده , , M. Dixon، نويسنده , , B.A. Eales، نويسنده , , F.F. Cai، نويسنده , , B.J. Read، نويسنده , , J.V. Healy، نويسنده ,
Abstract :
We report call option pricing for up-and-out style barrier options through the use of a neural net model. A synthetic data set was constructed from the real LIFFE standard option price data by use of the Rubenstein and Reiner analytic model (Risk September (1991) 28). Unbiased estimates at the 95% confidence level were achieved for realistic barriers (barrier 4% or more above max(S0,X)).
