Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/29448 
Erscheinungsjahr: 
1996
Schriftenreihe/Nr.: 
ZEW Discussion Papers No. 96-04
Verlag: 
Zentrum für Europäische Wirtschaftsforschung (ZEW), Mannheim
Zusammenfassung: 
In this paper we apply statistical inference techniques to build neural network models which are able to explain the prices of call options written on the German stock index DAX. By testing for the explanatory power of several input variables serving as network inputs, some insight into the pricing process of the option market is obtained. The results indicate that statistical specification strategies lead to parsimonious networks which have a superior out-of-sample performance when compared to the Black/Scholes model. We further validate our results by providing plausible hedge parameters.
Schlagwörter: 
Option Pricing
Neural Networks
Statistical Inference
Model Selection
Dokumentart: 
Working Paper
Dokumentversion: 
Digitized Version

Datei(en):
Datei
Größe
1.01 MB





Publikationen in EconStor sind urheberrechtlich geschützt.