Beyond Black-Scholes: A neural networks-based approach to options pricing

International Journal of Theoretical and Applied Finance

Volumn 6, Issue 5, 2003, Pages 469-489

  Zapart, Christopher A ^a  

^a Adv Fin Trading Solutions Ltd   (United Kingdom)

Author keywords

Artificial Neural Networks; Binomial Trees; Black Scholes Formulae; Bootstrap; Delta Hedging; Evolutionary Programming; Genetic Algorithms; Options Pricing; Statistical Arbitrage; Stochastic Volatility; Wavelets

Indexed keywords

EID: 0142087001     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024903002006     Document Type: Article

References (12)

1. F. Black and M. Scholes, The pricing of options and corporate liabilities, J. Political Econ. 81 (1973) 637-659.
2. J. C. Hull and A. White, The pricing of options on assets with stochastic volatilities J. Finance 42 (1987) 281-300.
3. J. C. Cox and S. A. Ross, The valuation of options for alternative stochastic processes, J. Financial Econ. 3 (1976) 145-66.
4. J. C. Hull, Options, Futures and Other Derivatives (Prentice Hall Intl. 3rd Ed., 1997).
5. Ch. Zapart, Stochastic volatility options pricing with wavelets and artificial neural networks, Quantitative Finance 2(6) (2002) 487-495.
6. M. A. H. Dempster and A. Eswaran, Wavelets methods in PDE valuation of financial derivatives, in Proc. the Second Intl. Conf. of Intelligent Data Engineering and Automated Learning (IDEAL 2000) 215-238.
7. N. Hazarika and D. Lowe, Iterative time-series prediction and analysis by embedding and multiple time-scale decomposition networks, in Proc. SPIE, Applications and Science of Artificial Neural Networks 3 (1997) 94-104.
8. S. Haykin, Neural Networks (Maxwell Macmillan, 1994).
9. A. M. Zoubir and B. Boashash, The bootstrap and its application in signal processing, IEEE Signal Processing Magazine 15 (1998) 56-76.
10. D. Lowe, Information fusion applied to selected financial problem domains, Multisensor Fusion (NATO Science Series) 70 (2002) 749-764.
11. C. M. Bishop, Neural Networks for Pattern Recognition (Oxford University Press, 1995).
12. Ch. Zapart, Statistical arbitrage trading with wavelets and artificial neural networks, in Proceedings of International Conference on Computational Intelligence for Financial Engineering (CIFEr2003) (Hong Kong, 2003) 429-435.