Title :
A hybrid neural network approach to the pricing of options
Author :
Boek, Christopher ; Lajbcygier, Paul ; Palaniswami, Marimuth ; Flitman, Andrew
Author_Institution :
Dept. of Electr. & Electron. Eng., Melbourne Univ., Parkville, Vic., Australia
Abstract :
A new method of pricing options is introduced. The method is based on the augmentation of a conventional model with an artificial neural network (ANN) trained on the difference between the standard model and actual options data. The pricing accuracy has been demonstrated using the actual All Ordinaries Share Price Index (AO SPI) options on futures. This hybrid approach is shown to provide greater accuracy than either standard model or ANN used alone
Keywords :
costing; neural nets; securities trading; AO SPI; All Ordinaries Share Price Index; hybrid neural network; options pricing; Artificial neural networks; Consumer electronics; Contracts; Differential equations; Function approximation; Investments; Neural networks; Pricing; Security; Share prices;
Conference_Titel :
Neural Networks, 1995. Proceedings., IEEE International Conference on
Conference_Location :
Perth, WA
Print_ISBN :
0-7803-2768-3
DOI :
10.1109/ICNN.1995.487522
