Compare Of Linear And Neural Networks Models For Estimating And Forecasting Black-Scholes Option Pricing Model
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F13%3A43870718" target="_blank" >RIV/70883521:28120/13:43870718 - isvavai.cz</a>
Result on the web
<a href="http://www.ufu.utb.cz/sbornik/proceedings2013.pdf" target="_blank" >http://www.ufu.utb.cz/sbornik/proceedings2013.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Compare Of Linear And Neural Networks Models For Estimating And Forecasting Black-Scholes Option Pricing Model
Original language description
The Black-Scholes formula is a well-known model for pricing and hedging derivative securities. Interesting hypothetical questions that can be raised are: If option pricing model had not been developed, could a technique like neural networks have learnt the nonlinear form of the Black-Scholes type model to yield the fair value of an option? Could the networks have learnt to produce efficient implied volatility estimates? The results in this article from a simplified neural networks approach are rather encouraging, but more for volatility outputs than for call prices. This article will evaluate the performance of alternative neural network models relative to the standard linear model for forecasting relatively complex artificially generated time series.The article shows that relatively simple feedforward neural nets outperform the linear models in some cases, or do not do worse than the linear models.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AE - Management, administration and clerical work
OECD FORD branch
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Result continuities
Project
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Continuities
V - Vyzkumna aktivita podporovana z jinych verejnych zdroju
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 6th International Scientific Conference Finance and the performance of firms in science, education, and practice
ISBN
978-80-7454-246-6
ISSN
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e-ISSN
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Number of pages
13
Pages from-to
72-84
Publisher name
Univerzita Tomáše Bati ve Zlíně, Fakulta managementu a ekonomiky
Place of publication
Zlín
Event location
Zlín
Event date
Apr 25, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000329435800006