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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