https://www.selleckchem.com/pr....oducts/marimastat.ht
In this paper, the performance of artificial neural networks in option pricing was analyzed and compared with the results obtained from the Black-Scholes-Merton model, based on the historical volatility. The results were compared based on various error metrics calculated separately between three moneyness ratios. The market data-driven approach was taken to train and test the neural network on the real-world options data from 2009 to 2019, quoted on the Warsaw Stock Exchange. The artificial neural network did not provide more accurat
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