About: Compare Of Linear And Neural Networks Models For Estimating And Forecasting Black-Scholes Option Pricing Model

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rdfs:seeAlso	http://www.ufu.utb.cz/sbornik/proceedings2013.pdf
Description	The Black-Scholes formula is a well-known model for pricing and hedging derivative securities. Interesting hypothetical questions that can be raised are: If option pricing model had not been developed, could a technique like neural networks have learnt the nonlinear form of the Black-Scholes type model to yield the fair value of an option? Could the networks have learnt to produce efficient implied volatility estimates? The results in this article from a simplified neural networks approach are rather encouraging, but more for volatility outputs than for call prices. This article will evaluate the performance of alternative neural network models relative to the standard linear model for forecasting relatively complex artificially generated time series. The article shows that relatively simple feedforward neural nets outperform the linear models in some cases, or do not do worse than the linear models. The Black-Scholes formula is a well-known model for pricing and hedging derivative securities. Interesting hypothetical questions that can be raised are: If option pricing model had not been developed, could a technique like neural networks have learnt the nonlinear form of the Black-Scholes type model to yield the fair value of an option? Could the networks have learnt to produce efficient implied volatility estimates? The results in this article from a simplified neural networks approach are rather encouraging, but more for volatility outputs than for call prices. This article will evaluate the performance of alternative neural network models relative to the standard linear model for forecasting relatively complex artificially generated time series. The article shows that relatively simple feedforward neural nets outperform the linear models in some cases, or do not do worse than the linear models. (en)
Title	Compare Of Linear And Neural Networks Models For Estimating And Forecasting Black-Scholes Option Pricing Model Compare Of Linear And Neural Networks Models For Estimating And Forecasting Black-Scholes Option Pricing Model (en)
skos:prefLabel	Compare Of Linear And Neural Networks Models For Estimating And Forecasting Black-Scholes Option Pricing Model Compare Of Linear And Neural Networks Models For Estimating And Forecasting Black-Scholes Option Pricing Model (en)
skos:notation	RIV/70883521:28120/13:43870718!RIV14-MSM-28120___
http://linked.open...avai/riv/aktivita	V
http://linked.open...avai/riv/aktivity	V
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Benda, Radek
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Tomáše Bati ve Zlíně / Fakulta managementu a ekonomiky
http://linked.open...dnocenehoVysledku	66103
http://linked.open...ai/riv/idVysledku	RIV/70883521:28120/13:43870718
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Black-Scholes model\|\|Artificial Neural Networks (ANN)\|\|Implied volatilities\|\|Option pricing\|\|Hedging\|\|Statistical inference (en)
http://linked.open.../riv/klicoveSlovo	Black-Scholes model\|\|Artificial Neural Networks (ANN)\|\|Implied volatilities\|\|Option pricing\|\|Hedging\|\|Statistical inference
http://linked.open...ontrolniKodProRIV	[DE261FB15BFA]
http://linked.open...v/mistoKonaniAkce	Zlín
http://linked.open...i/riv/mistoVydani	Zlín
http://linked.open...i/riv/nazevZdroje	Proceedings of the 6th International Scientific Conference Finance and the performance of firms in science, education, and practice
http://linked.open...in/vavai/riv/obor	AE
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
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http://linked.open...UplatneniVysledku	2013
http://linked.open...iv/tvurceVysledku	Benda, Radek
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open...ain/vavai/riv/wos	000329435800006
http://linked.open.../riv/zahajeniAkce	2013-04-25 (xsd:date)
number of pages	13 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Univerzita Tomáše Bati ve Zlíně. Fakulta managementu a ekonomiky
https://schema.org/isbn	978-80-7454-246-6
http://localhost/t...ganizacniJednotka	28120

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