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Black–Scholes versus artificial neural networks in pricing FTSE 100 options

✍ Scribed by Julia Bennell; Charles Sutcliffe


Book ID
111661289
Publisher
John Wiley and Sons
Year
2004
Tongue
English
Weight
126 KB
Volume
12
Category
Article
ISSN
1055-615X

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A neural network versus Black–Scholes: a
✍ 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