Pricing American put option using RBF-NN: new simulation of Black-Scholes

DOI10.2478/MJPAA-2022-0007MaRDI QIDQ6491266

El Kharrazi Zaineb, Mahani Zouhir, Saoud Sahar

Publication date: 24 April 2024

Published in: Moroccan Journal of Pure and Applied Analysis (Search for Journal in Brave)

zbMATH Keywords

option pricingMonte Carlo simulationradial basis functionartificial neural networkBlack-Scholes equationAmerican option

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Neural networks for/in biological studies, artificial life and related topics (92B20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• The Black-Scholes equation in stochastic volatility models
• An analysis of a least squares regression method for American option pricing
• An introduction to neural network methods for differential equations
• Stochastic optimisation and control applied to finance
• Simulation and the Monte Carlo Method
• FEYNMAN–KAC FORMULAS FOR BLACK–SCHOLES-TYPE OPERATORS
• An Introduction to Financial Option Valuation

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