Hybrid artificial neural networks for efficient valuation of real options and financial derivatives

A hybrid valuation methodology is proposed and tested for improving the efficiency of contingent claims pricing by combining Artificial Neural Networks (ANN) and conventional parametric option pricing techniques. With one application on financial derivatives and one on real options the method’s superiority is demonstrated. The resulting efficiency is instrumental for real time applications. Copyright Springer-Verlag Berlin/Heidelberg 2005

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Year of publication:	2005
Authors:	Charalambous, Chris ; Martzoukos, Spiros
Published in:	Computational Management Science. - Springer. - Vol. 2.2005, 2, p. 155-161
Publisher:	Springer
Subject:	Artificial neural networks \| financial derivatives \| real options \| path-dependency \| switching costs

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

Persistent link: https://www.econbiz.de/10005370529