A financial option pricing model based on learning algorithms

Título:	A financial option pricing model based on learning algorithms
Autores/as:	González Martel, Cristian García Artiles,María Dolores Fernández Rodríguez, Fernando
Clasificación UNESCO:	530202 Modelos econométricos
Palabras clave:	Hedging Derivative Securities Neural-Network Valuation Option Pricing Black-Scholes, et al.
Fecha de publicación:	2009
Publicación seriada:	Aebd '09: Proceedings Of The World Multiconference On Applied Economics, Business And Development
Conferencia:	World Multiconference on Applied Economics, Business and Development (AEBD '09)
Resumen:	The Black-Scholes option pricing model provides theoretical values for the put and call options when do not pay dividends. In this work we compare these theoretical values with the obtained ones by a neural network that is applied to the option pricing market on the Ibex-35 index. Our result shows that the neural network is superior by the Black-Scholes model analyzing the kindness of the adjustment for the ME (mean of the option price errors) and RMSE (root mean square error).
URI:	http://hdl.handle.net/10553/72519
ISBN:	978-960-474-091-8
ISSN:	1790-5109
Fuente:	Aebd '09: Proceedings Of The World Multiconference On Applied Economics, Business And Development[ISSN 1790-5109], p. 153-157, (2009)
Colección:	Actas de congresos

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