Document Type : Research Article

Authors

1 Department of Applied Mathematics, Faculty of Mathematical Science, University of Guilan

2 Department of Applied Mathematics‎, ‎Faculty of Mathematical Science‎, ‎University of Guilan.

Abstract

‎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.

Keywords

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