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A neural network versus Black-Scholes: a comparison of pricing and hedging performances. Henrik Amilon. Journal of Forecasting22 (4) 2003, 317-335

Book ID
102214177
Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
20 KB
Volume
22
Category
Article
ISSN
0277-6693

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✦ Synopsis

Abstract

The orginal article to which this Erratum refers was published in Journal of Forecasting 22(4) 317–335.

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A neural network versus Black–Scholes: a
A neural network versus Black–Scholes: a comparison of pricing and hedging performances
✍ Henrik Amilon 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 129 KB

## Abstract An Erratum has been published for this article in Journal of Forecasting 22(6‐7) 2003, 551 The Black–Scholes formula is a well‐known model for pricing and hedging derivative securities. It relies, however, on several highly questionable assumptions. This paper examines whether a neural