Quantitative comparison of option pricing models: neural networks vs. stochastic models

This study presents a quantitative comparison of three different option pricing models. The emphasis is on the quite recent artificial neural network model, which is compared to the Monte Carlo simulation and the Black-Scholes-Merton pricing model. The financial markets' complexity demands incr...

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Bibliographic Details
Main Author: Nyholm, Sebastian
Other Authors: Jyväskylä University School of Business and Economics, Jyväskylän yliopiston kauppakorkeakoulu, University of Jyväskylä, Jyväskylän yliopisto
Format: Master's thesis
Language:eng
Published: 2024
Subjects:
Online Access: https://jyx.jyu.fi/handle/123456789/94711