“Critical assessment of option pricing methods using artificial neural networks”, with C. Charalambous and S. Martzoukos, Lecture Notes in Computer Science, vol. 2415, pp. 1131–1136, January 2002.
In this paper we compare the predictive ability of the Black-Scholes Formula (BSF) and Artificial Neural Networks (ANNs) to price call options by exploiting historical volatility measures.