Institute of Information Theory and Automation

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Bibliography

Research Report

Neural Networks as Semiparametric Option Pricing Tool

Baruník Jozef, Baruníková M.

: ÚTIA AV ČR, (Praha 2009)

: Research Report 2266

: CEZ:AV0Z10750506

: GA402/09/0965, GA ČR, GD402/09/H045, GA ČR

: option valuation, neural network, S&P 500 index options

(eng): We study the ability of artificial neural networks to price the European style call and put options on the S&P 500 index.

(cze): Studie schopnosti neuronových sítí odcenit call a put opce na index S&P 500.

: AH

2019-01-07 08:39