“Robust artificial neural networks for pricing of European options”, with C. Charalambous and S. Martzoukos, Computational Economics, vol. 27, issue 2, pp. 329–351, May 2006.
13 Pages · Posted: May 2006 · Citations: 17 | The option pricing ability of Robust Artificial Neural Networks optimised with the Huber function is compared against those optimised with Least Squares. Comparison is in respect to pricing European call options on the S&P 500 using daily data for the period April 1998 to August 2001.