A Pragmatical Option Pricing Method Combining Black-Scholes Formula, Time Series Analysis and Artificial Neural Network

2013 Ninth International Conference on Computational Intelligence and SecurityAlthough many theoretical methods were developed to price various derivatives, pricing deviation still remains very high. This paper provides a pragmatical option pricing method by combining skewness and kurtosis adjusted Black- Scholes model of Corrado and Su, time series analysis and Artificial Neural Network (ANN). The empirical tests in FTSE 100 Index options show that pricing deviation calculated by adjusted Black-Scholes model is still high. After the model is modified by time series analysis and ANN methods, the pricing deviation is reduced, which is much smaller than the previous models. It is suggested that time series analysis and Artificial Neural Network methods can be used in the pragmatical work to make the pricing more fast and precise

7th International Conference on Higher Education Advances (HEAd'21)

Information and communication technologies together with new teaching paradigms are reshaping the learning environment.The International Conference on Higher Education Advances (HEAd) aims to become a forum for researchers and practitioners to exchange ideas, experiences,opinions and research results relating to the preparation of students and the organization of educational systems.Doménech I De Soria, J.; Merello Giménez, P.; Poza Plaza, EDL. (2021). 7th International Conference on Higher Education Advances (HEAd'21). Editorial Universitat Politècnica de València. https://doi.org/10.4995/HEAD21.2021.13621EDITORIA