This paper compares the performance of artificial neural networks (ANNs) with that of the modified Black model in both pricing and hedging Short Sterling options. Using high frequency data, standard and hybrid ANNs are trained to generate option prices. The hybrid ANN is significantly superior...

Option is an important financial derivative. Accurate option pricing is essential to the development of financial markets. For option pricing, existing time series models and neural networks are difficult to extract multi-scale temporal features from option data, which greatly limits their...

Option is an important financial derivative. Accurate option pricing is essential to the development of the financial market. For option pricing, existing time series models and neural networks are difficult to extract multi-scale temporal features from option data, which greatly limits their...