Pricing American Put Option using RBF-NN: New Simulation of Black-Scholes

Pricing American Put Option using RBF-NN: New Simulation of Black-Scholes

The present work proposes an Artificial Neural Network framework for calculating the price and delta hedging of American put option. We consider a sequence of Radial Basis function Neural Network, where each network learns the difference of the price function according to the Gaussian basis function...

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Bibliographic Details
Main Authors: Zaineb El Kharrazi, Sahar Saoud, Zouhir Mahani
Format: Article
Language:English
Published: Sciendo 2022-01-01
Series:Moroccan Journal of Pure and Applied Analysis
Subjects:
american option
artificial neural network
black-scholes equation
monte carlo simulation
option pricing
radial basis function
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Online Access:https://doi.org/10.2478/mjpaa-2022-0007

Internet

https://doi.org/10.2478/mjpaa-2022-0007

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