Matches in SemOpenAlex for { <https://semopenalex.org/work/W3157235680> ?p ?o ?g. }
Showing items 1 to 70 of
70
with 100 items per page.
- W3157235680 abstract "In this paper, a feed-forward artificial neural network (ANN) is used to price Johannesburg Stock Exchange (JSE) Top 40 European call options using a constructed implied volatility surface. The prices generated by the ANN were compared to the prices obtained using the Black-Scholes (BS) model. It was found that the pricing performance of the ANN significantly improves when the number of training samples are increased and that ANNs are able to price European call options in the South African market with a high degree of accuracy." @default.
- W3157235680 created "2021-05-10" @default.
- W3157235680 creator A5047301981 @default.
- W3157235680 creator A5050923212 @default.
- W3157235680 date "2021-01-01" @default.
- W3157235680 modified "2023-10-15" @default.
- W3157235680 title "Pricing vanilla options using artificial neural networks: Application to the South African market" @default.
- W3157235680 cites W1498436455 @default.
- W3157235680 cites W2077791698 @default.
- W3157235680 cites W2103496339 @default.
- W3157235680 cites W2137983211 @default.
- W3157235680 cites W3103006016 @default.
- W3157235680 cites W3122003246 @default.
- W3157235680 cites W3124436545 @default.
- W3157235680 cites W4231057775 @default.
- W3157235680 doi "https://doi.org/10.1080/23322039.2021.1914285" @default.
- W3157235680 hasPublicationYear "2021" @default.
- W3157235680 type Work @default.
- W3157235680 sameAs 3157235680 @default.
- W3157235680 citedByCount "2" @default.
- W3157235680 countsByYear W31572356802023 @default.
- W3157235680 crossrefType "journal-article" @default.
- W3157235680 hasAuthorship W3157235680A5047301981 @default.
- W3157235680 hasAuthorship W3157235680A5050923212 @default.
- W3157235680 hasBestOaLocation W31572356801 @default.
- W3157235680 hasConcept C10138342 @default.
- W3157235680 hasConcept C106159729 @default.
- W3157235680 hasConcept C149782125 @default.
- W3157235680 hasConcept C154945302 @default.
- W3157235680 hasConcept C162324750 @default.
- W3157235680 hasConcept C163128081 @default.
- W3157235680 hasConcept C194483076 @default.
- W3157235680 hasConcept C200870193 @default.
- W3157235680 hasConcept C24189920 @default.
- W3157235680 hasConcept C41008148 @default.
- W3157235680 hasConcept C50644808 @default.
- W3157235680 hasConcept C91602232 @default.
- W3157235680 hasConceptScore W3157235680C10138342 @default.
- W3157235680 hasConceptScore W3157235680C106159729 @default.
- W3157235680 hasConceptScore W3157235680C149782125 @default.
- W3157235680 hasConceptScore W3157235680C154945302 @default.
- W3157235680 hasConceptScore W3157235680C162324750 @default.
- W3157235680 hasConceptScore W3157235680C163128081 @default.
- W3157235680 hasConceptScore W3157235680C194483076 @default.
- W3157235680 hasConceptScore W3157235680C200870193 @default.
- W3157235680 hasConceptScore W3157235680C24189920 @default.
- W3157235680 hasConceptScore W3157235680C41008148 @default.
- W3157235680 hasConceptScore W3157235680C50644808 @default.
- W3157235680 hasConceptScore W3157235680C91602232 @default.
- W3157235680 hasIssue "1" @default.
- W3157235680 hasLocation W31572356801 @default.
- W3157235680 hasLocation W31572356802 @default.
- W3157235680 hasLocation W31572356803 @default.
- W3157235680 hasOpenAccess W3157235680 @default.
- W3157235680 hasPrimaryLocation W31572356801 @default.
- W3157235680 hasRelatedWork W1588152617 @default.
- W3157235680 hasRelatedWork W2061357939 @default.
- W3157235680 hasRelatedWork W2070862805 @default.
- W3157235680 hasRelatedWork W2121246931 @default.
- W3157235680 hasRelatedWork W2258849102 @default.
- W3157235680 hasRelatedWork W3122694463 @default.
- W3157235680 hasRelatedWork W3124537231 @default.
- W3157235680 hasRelatedWork W3180933049 @default.
- W3157235680 hasRelatedWork W4238263089 @default.
- W3157235680 hasRelatedWork W4328096176 @default.
- W3157235680 hasVolume "9" @default.
- W3157235680 isParatext "false" @default.
- W3157235680 isRetracted "false" @default.
- W3157235680 magId "3157235680" @default.
- W3157235680 workType "article" @default.