Option pricing with neural networks vs. Black-Scholes under different volatility forecasting approaches for BIST 30 index options
This study compares the performances of neural network and Black-Scholes models in pricing BIST30 (Borsa Istanbul) index call and put options with different volatility forecasting approaches. Since the volatility is the key parameter in pricing options, GARCH (Generalized Autoregressive Conditional...
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| Format: | Article |
| Language: | English |
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Elsevier
2022-07-01
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| Series: | Borsa Istanbul Review |
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845021001071 |