Black-Scholes versus artificial neural networks in pricing FTSE 100 options-Reference-Cited by-同舟云学术

Black-Scholes versus artificial neural networks in pricing FTSE 100 options

Published:2004-10 Issue:4 Volume:12 Page:243-260
ISSN:1055-615X
Container-title:Intelligent Systems in Accounting, Finance & Management
language:en
Short-container-title:Int. J. Intell. Syst. Acc. Fin. Mgmt.

Author:

Bennell Julia,Sutcliffe Charles

Publisher

Wiley

Subject

Finance,General Business, Management and Accounting

Reference70 articles.

1. 2001. A neural network versus Black-Scholes: a comparison of pricing and hedging performances. Working Paper, Department of Economics, Lund University.

2. Improving the pricing of options: a neural network approach

3. Empirical Performance of Alternative Option Pricing Models

4. 1996. No-arbitrage asset pricing with neural networks under stochastic volatility. In Neural Networks in Financial Engineering: Proceedings of the Third International Conference on Neural Networks in the Capital Markets, (eds). World Scientific: New York; 3- 16.

5. 1997. Neural networks for contingent claim pricing via the Galerkin method. In Computational Approaches to Economic Problems, (eds). Kluwer Academic Publishers: Dordrecht; 127- 141.

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