Option Pricing Using Artificial Neural Networks

Hahn, Tobias.

Option Pricing Using Artificial Neural Networks : an Australian Perspective.

Degree: 2013, Bond University

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▼ The thesis addresses the question of how option pricing can be improved using machine learning techniques. The focus is on the modelling of volatility, the central determinant of an option price, using artificial neural networks. This is done explicitly as a volatility forecast and its accuracy evaluated. In addition, its use in option pricing is tested and compared with a direction option pricing approach.
Subjects/Keywords: Options (Finance) Prices Mathematical models; Futures Mathematical models; Neural networks (Computer science).; Economics, Finance (0508)