Volltext-Downloads (blau) und Frontdoor-Views (grau)
The search result changed since you submitted your search request. Documents might be displayed in a different sort order.
  • search hit 4 of 76
Back to Result List

Reverse engineering of option pricing: an AI application

  • This paper studies option pricing based on a reverse engineering (RE) approach. We utilize artificial intelligence in order to numerically compute the prices of options. The data consist of more than 5000 call- and put-options from the German stock market. First, we find that option pricing under reverse engineering obtains a smaller root mean square error to market prices. Second, we show that the reverse engineering model is reliant on training data. In general, the novel idea of reverse engineering is a rewarding direction for future research. It circumvents the limitations of finance theory, among others strong assumptions and numerical approximations under the Black–Scholes model.

Download full text files

Export metadata

Additional Services

Search Google Scholar

Statistics

frontdoor_oas
Metadaten
Author of HS ReutlingenHerzog, Bodo; Osamah, Sufyan
URN:urn:nbn:de:bsz:rt2-opus4-24312
DOI:https://doi.org/10.3390/ijfs7040068
ISSN:2227-7072
Erschienen in:International journal of financial studies : open access journal
Publisher:MDPI
Place of publication:Basel
Document Type:Journal article
Language:English
Publication year:2019
Tag:artificial intelligence; derivatives; genetic algorithm; machine learning; option pricing; reverse engineering
Volume:7
Issue:4
Page Number:12
First Page:1
Last Page:12
Article Number:68
DDC classes:330 Wirtschaft
Open access?:Ja
Licence (German):License Logo  Creative Commons - CC BY - Namensnennung 4.0 International