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- W2037617162 abstract "In this paper the pricing performance of the artificial neural network is compared to the Black-Scholes and the GARCH option-pricing model. The artificial neural network is trained on the implied volatility rather then the option price, which leads to an improved performance when compared to the competing models. The hedging performance of the neural network, GARCH option-pricing model and the Black-Scholes are also analysed." @default.
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- W2037617162 date "2008-05-13" @default.
- W2037617162 modified "2023-09-23" @default.
- W2037617162 title "A neural network approach to option pricing" @default.
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- W2037617162 doi "https://doi.org/10.2495/cf080081" @default.
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