Artificial Neural Networks Performance in WIG20 Index Options Pricing
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More about this item
Keywords
option pricing; machine learning; artificial neural networks; implied volatility; supervised learning; index options; Black – Scholes – Merton model;All these keywords.
JEL classification:
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2020-08-17 (Big Data)
- NEP-CMP-2020-08-17 (Computational Economics)
- NEP-FMK-2020-08-17 (Financial Markets)
- NEP-ORE-2020-08-17 (Operations Research)
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