Barrier option pricing: modelling with neural nets

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)).

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Year of publication:	2004
Authors:	Xu, L. ; Dixon, M. ; Eales, B.A. ; Cai, F.F. ; Read, B.J. ; Healy, J.V.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 344.2004, 1, p. 289-293
Publisher:	Elsevier
Subject:	Up-and-out call option pricing \| Neural net

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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