Author Archives: Dr. Panayiotis Andreou

19 Pages · Posted: Mar 2008 · Citations: 43 | We compare the ability of the parametric Black and Scholes, Corrado and Su models, and Artificial Neural Networks to price European call options on the S&P 500 using daily data for the period January 1998 to August 2001.

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.

We combine parametric models and feedforward artificial neural networks to price and trade European S&P500 Index options. Artificial neural networks are optimised on a hybrid target function consisted by the standardised residual term between the actual market price and the option estimate of a certain parametric model.

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.