Allameh Tabataba'i University Press Journal of Mathematics and Modeling in Finance 2783-0578 4 1 2024 07 01 Calibration of European option pricing model using a hybrid structure based on the optimized artificial neural network and Black-Scholes model 67 82 17403 10.22054/jmmf.2024.78910.1128 EN Farshid Mehrdoust Department of Applied Mathematics, Faculty of Mathematical Science, University of Guilan Maryam Noorani Department of Applied Mathematics‎, ‎Faculty of Mathematical Science‎, ‎University of Guilan. Journal Article 2024 03 21 ‎This study suggests a novel approach for calibrating European option pricing model by a hybrid model based on the optimized artificial neural network and Black-Scholes model‎. ‎In this model‎, ‎the inputs of the artificial neural network are the Black-Scholes equations with different maturity dates and strike prices‎. ‎The presented calibration process involves training the neural network on historical option prices and adjusting its parameters using the Levenberg-Marquardt optimization algorithm‎. ‎The resulting hybrid model shows superior accuracy and efficiency in option pricing on both in sample and out of sample dataset‎. https://jmmf.atu.ac.ir/article_17403_8422417f5ced7b86732b3c5a41022ce6.pdf