Hamid, Shaikh A.Habib, Abraham2011-01-242011-01-242005https://hdl.handle.net/10474/1662Version of RecordNeural networks have been shown to learn complex relationships. It would be interesting to see if the networks can be trained to learn the nonlinear relationship underlying Black-Scholes type models. Interesting hypothetical questions that can be raised are: If option pricing model had not been developed, could a technique like neural networks have learnt the nonlinear form of the Black-Scholes type model to yield the fair value of an option? Could the networks have learnt to produce efficient implied volatility estimates? Our results from a simplified neural networks approach are rather encouraging, but more for volatility outputs than for call prices.415273 bytesen-USAuthors retain all ownership rights. Further reproduction in violation of copyright is prohibitedBlack-Scholes modelneural networksimplied volatilityWorking Paperapplication/pdf