The paper concerns a heterogeneous agent model, which is an extension of the Brock and Hommes model. The heterogeneous agents approach challenges the traditional representative rational agent framework. Heterogeneity in expectations can lead to market instability and complicated price dynamics....

We study the ability of artificial neural networks to price the European style call and put options on the S&P 500 index covering the daily data for the period from June 2004 to June 2007. The greatest advantage of option pricing with neural networks is that we do not need to make any...