## Black-Scholes versus artificial neural networks in pricing FTSE 100 options

- Julia A. Bennell, Charles Sutcliffe
- Int. Syst. in Accounting, Finance and Management
- 2004

Highly Influenced

4 Excerpts

@inproceedings{Kelly1994ValuingAH, title={Valuing and Hedging American Put Options Using Neural Networks}, author={David L. Kelly and Jamsheed Shorish}, year={1994} }

- Published 1994

We use a neural network to non-parametrically estimate the market valuation function for American put options with real data. The neural network valuation function is twice di erentiable, and provides an instantaneous approximation of the American put option using a set of multiple state variables. We use the neural network valuation function to form hedged portfolios for American put options against changes in the stock price, the delta of the stock price, and interest rate.