About: Neural Networks as Semiparametric Option Pricing Tool

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	We study the ability of artificial neural networks to price the European style call and put options on the S&P 500 index covering the daily data for the period from June 2004 to June 2007. We divide the data set into several categories according to moneyness and time to maturity. We then price all options within the categories. The results show that neural networks outperform benchmark ad hoc Black-Scholes model with significantly lower pricing errors across all categories for both call and put options. Moreover, the differences between ad hoc Black-Scholes and neural networks errors widen with deepness of moneyness or longer time to maturity. We show that neural networks, even without the volatility input, can correct for the Black-Scholes maturity and moneyness bias. We study the ability of artificial neural networks to price the European style call and put options on the S&P 500 index covering the daily data for the period from June 2004 to June 2007. We divide the data set into several categories according to moneyness and time to maturity. We then price all options within the categories. The results show that neural networks outperform benchmark ad hoc Black-Scholes model with significantly lower pricing errors across all categories for both call and put options. Moreover, the differences between ad hoc Black-Scholes and neural networks errors widen with deepness of moneyness or longer time to maturity. We show that neural networks, even without the volatility input, can correct for the Black-Scholes maturity and moneyness bias. (en)
Title	Neural Networks as Semiparametric Option Pricing Tool Neural Networks as Semiparametric Option Pricing Tool (en)
skos:prefLabel	Neural Networks as Semiparametric Option Pricing Tool Neural Networks as Semiparametric Option Pricing Tool (en)
skos:notation	RIV/67985556:_____/11:00367688!RIV12-AV0-67985556
http://linked.open...avai/predkladatel	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...avai/riv/aktivita	P S Z
http://linked.open...avai/riv/aktivity	P(GA402/09/0965), P(GD402/09/H045), S, Z(AV0Z10750506), Z(MSM0021620841)
http://linked.open...iv/cisloPeriodika	28
http://linked.open...vai/riv/dodaniDat	2012
http://linked.open...aciTvurceVysledku	Baruník, Jozef
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	215656
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/11:00367688
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	option valuation; neural network; S&P 500 index options (en)
http://linked.open.../riv/klicoveSlovo	neural network S&P 500 index options option valuation
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[D9ED83142BBC]
http://linked.open...i/riv/nazevZdroje	Bulletin of the Czech Econometric Society
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Nonlinear Dynamics in Monetary and Financial Economics. Theory and Empirical Models. New Approaches to Monitoring and Forecasting Financial Markets
http://linked.open...UplatneniVysledku	2011
http://linked.open...v/svazekPeriodika	18
http://linked.open...iv/tvurceVysledku	Baruník, Jozef Baruníková, M.
http://linked.open...n/vavai/riv/zamer	Pokročilé matematické metody získávání, zpracování a využití informací a znalostí ve složitých a nedeterministických systémech Development of the Czech Society in the EU: challenges and risks
issn	1212-074X
number of pages	18 (xsd:int)
is http://linked.open...avai/riv/vysledek of	Neural Networks as Semiparametric Option Pricing Tool Neural Networks as Semiparametric Option Pricing Tool

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