The open archive for STFC research publications

Full Record Details

Persistent URL http://purl.org/net/epubs/work/34410
Record Status Checked
Record Id 34410
Title Barrier option pricing: modelling with neural nets
Abstract We report call option pricing for up-and-out style barrier options through the use of a neural net model. A synthetic data set was constructed from the real LIFFE standard option price data by use of the Rubenstein and Reiner analytic model (Risk September (1991) 28). Unbiased estimates at the 95% confidence level were achieved for realistic barriers (barrier 4% or more above max(S0;X) ).
Organisation CCLRC , BITD
Keywords Engineering , Financial Engineering , Neural net , Up-out call option
Funding Information
Related Research Object(s):
Licence Information:
Language English (EN)
Type Details URI(s) Local file(s) Year
Journal Article Physica A 344 (2004): 289-293. doi:10.1016/j.physa.2004.06.134 PhysicaA344p289-293.pdf 2004