Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83339
Authors: 
Vlasáková Baruníková, Michaela
Year of Publication: 
2009
Series/Report no.: 
IES Working Paper 16/2009
Abstract: 
In this article we evaluate the pricing performance of the rather simple but revolutionary Black-Scholes model and one of the more complex techniques (neural networks) on the European-style S&P Index call and put options over the period of 1.6.2006 till 8.6.2007. Our results on call options show that generally Black-Scholes model performs better than simple generalized feed-forward networks. On the other hand neural networks performance is improving as the option goes deep in the money and as days to expiration increase, compared to the worsening performance of the BS models. Neural networks seem to correct for the well-known Black-Scholes model moneyness and maturity biases.
Subjects: 
option pricing
neural networks
JEL: 
C45
G13
Document Type: 
Working Paper
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