Pricing vanilla options using artificial neural networks: Application to the South African market

Cogent Economics & Finance

Ryno du Plooy¹  Pierre J. Venter¹ 

[1] University of Johannesburg;

关键词: artificial intelligence;    european call options;    financial derivatives;    implied volatility;    johannesburg stock exchange (jse);    machine learning;    neural networks;   

DOI  :  10.1080/23322039.2021.1914285

来源: DOAJ

【 摘 要 】

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.

【 授权许可】

Unknown