Pricing options with dual volatility input to modular neural networks
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DOI: 10.1016/j.bir.2020.03.002
Abstract: Abstract Tested is the choice of the volatility input to the artificial neural networks in the process of pricing options. Numerous studies concluded the weaknesses of Black-Scholes model use as a pricing tool in the… read more here.
Keywords: neural networks; volatility; volatility input; pricing options ... See more keywords