Pricing American Put Option using RBF-NN: New Simulation of Black-Scholes

The present work proposes an Artificial Neural Network framework for calculating the price and delta hedging of American put option. We consider a sequence of Radial Basis function Neural Network, where each network learns the difference of the price function according to the Gaussian basis function...

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Bibliographic Details

Published in:	Moroccan Journal of Pure and Applied Analysis
Main Authors:	Zaineb El Kharrazi, Sahar Saoud, Zouhir Mahani
Format:	Article
Language:	English
Published:	Sciendo 2022-01-01
Subjects:	american option artificial neural network black-scholes equation monte carlo simulation option pricing radial basis function 91g20 92b20 65c05 91g80
Online Access:	https://doi.org/10.2478/mjpaa-2022-0007