A NOVEL METHOD FOR ESTIMATING THE INVERSE FUNCTION OF BLACK-SCHOLES OPTION PRICING MODEL USING ARTIFICIAL NEURAL NETWORKS
| dc.contributor.author | Hasanabadi, Hamed Shafiee | |
| dc.contributor.author | Mayorga, Rene V. | |
| dc.date.accessioned | 2014-05-20T15:35:38Z | |
| dc.date.available | 2014-05-20T15:35:38Z | |
| dc.date.issued | 2014-05-20 | |
| dc.description.abstract | Black-Scholes (BS) model is a well-known model for pricing options. Option is a derivative financial instrument which gives its owner the right of buying the underlying asset at a pre specified date for a pre specified price. BS model calculates the option price using 5 input variables and parameters including current underlying price, strike price, time to maturity, interest rate and the volatility of the underlying asset price. | en_US |
| dc.description.authorstatus | Faculty | en_US |
| dc.description.peerreview | no | en_US |
| dc.identifier.uri | https://hdl.handle.net/10294/5319 | |
| dc.language.iso | en | en_US |
| dc.subject | Black-Scholes model | en_US |
| dc.subject | Artificial Neural Networks | en_US |
| dc.title | A NOVEL METHOD FOR ESTIMATING THE INVERSE FUNCTION OF BLACK-SCHOLES OPTION PRICING MODEL USING ARTIFICIAL NEURAL NETWORKS | en_US |
| dc.type | Report | en_US |