• DOI:10.2139/SSRN.480562
Corpus ID: 8961856

Alternative Neural Network Approach for Option Pricing and Hedging

@inproceedings{Carverhill2003AlternativeNN,
  title={Alternative Neural Network Approach for Option Pricing and Hedging},
  author={Andrew P. Carverhill and T. Cheuk},
  year={2003}
}

• Andrew P. Carverhill, T. Cheuk
• Published 2003
• Economics

Since its introduction in 1973, the Black-Scholes model has found increasingly more resistance in application. In order to use Black-Scholes to price any option, one needs to know the implied volatility surface. The existence of such surface is an evidence of misspecification of the model. In this case, the problem is with the assumption of a geometric Brownian motion for the stock price process. There is strong empirical evidence that stocks do not follow such process. However, no agreement… Expand

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