Modelling option prices using neural networks

This thesis is submitted in partial fulfillment of the requirements for the degree of Bachelor of Science in Computer Science, 2019.

ग्रंथसूची विवरण
मुख्य लेखकों:	Nasim, Ahmed Zohair, Syed, Shehran
अन्य लेखक:	Majumdar, Mahbub Alam
स्वरूप:	थीसिस
भाषा:	English
प्रकाशित:	Brac University 2020
विषय:	Neural network Black scholes model Neural networks (Computer science)
ऑनलाइन पहुंच:	http://hdl.handle.net/10361/13652

id	10361-13652
record_format	dspace
spelling	10361-136522022-01-26T10:21:41Z Modelling option prices using neural networks Nasim, Ahmed Zohair Syed, Shehran Majumdar, Mahbub Alam Department of Computer Science and Engineering, Brac University Neural network Black scholes model Neural networks (Computer science) This thesis is submitted in partial fulfillment of the requirements for the degree of Bachelor of Science in Computer Science, 2019. Cataloged from PDF version of thesis. Includes bibliographical references (pages 39-40). In this research, modelling of the European option prices of S&P 500 index options was carried out using Multi-layer Perceptron Neural Networks. The goal was to train the neural networks using historical data to accurately determine option prices, given the index price, strike price and time to expiry as inputs. There is no hard and fast formula for pricing options, with the exception of the Black Scholes model, which is only a theoretical model and often under-performs in practical applications. Therefore, developing a model for pricing real options is of great importance, and Neural Networks have the potential to be vital vehicles to that end. That is what motivated this study. Di erent results with respect to accuracy are achieved by partitioning the data according to moneyness of options, with the Neural Network performing exceptionally for in-the-money options, but poorly for out-of-the-money options. This suggest that in a volatile market the neural network outperforms the Black Scholes model for in-the-money options, however the Black Scholes model is still better for at-the-money options. Ahmed Zohair Nasim Shehran Syed B. Computer Science 2020-01-21T06:59:39Z 2020-01-21T06:59:39Z 2019 2019 Thesis ID 18241011 ID 16101007 http://hdl.handle.net/10361/13652 en Brac University theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. 40 pages application/pdf Brac University
institution	Brac University
collection	Institutional Repository
language	English
topic	Neural network Black scholes model Neural networks (Computer science)
spellingShingle	Neural network Black scholes model Neural networks (Computer science) Nasim, Ahmed Zohair Syed, Shehran Modelling option prices using neural networks
description	This thesis is submitted in partial fulfillment of the requirements for the degree of Bachelor of Science in Computer Science, 2019.
author2	Majumdar, Mahbub Alam
author_facet	Majumdar, Mahbub Alam Nasim, Ahmed Zohair Syed, Shehran
format	Thesis
author	Nasim, Ahmed Zohair Syed, Shehran
author_sort	Nasim, Ahmed Zohair
title	Modelling option prices using neural networks
title_short	Modelling option prices using neural networks
title_full	Modelling option prices using neural networks
title_fullStr	Modelling option prices using neural networks
title_full_unstemmed	Modelling option prices using neural networks
title_sort	modelling option prices using neural networks
publisher	Brac University
publishDate	2020
url	http://hdl.handle.net/10361/13652
work_keys_str_mv	AT nasimahmedzohair modellingoptionpricesusingneuralnetworks AT syedshehran modellingoptionpricesusingneuralnetworks
_version_	1814309282259140608

Modelling option prices using neural networks

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