Pricing American Put Option using RBF-NN: New Simulation of Black-Scholes Cover

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Pricing American Put Option using RBF-NN: New Simulation of Black-Scholes

Moroccan Journal of Pure and Applied Analysis

Volume 8 (2022): Issue 1 (January 2022)

By: El Kharrazi Zaineb, Saoud Sahar and Mahani Zouhir

Open Access

|Jan 2022

Authors

El Kharrazi Zaineb

zaineb.elkharrazi@edu.uiz.ac.ma

Engineering Sciences and Energy Management Laboratory, ENSA, Ibn Zohr University

Saoud Sahar

sahar.saoud@gmail.com

Technical Research Laboratory, Faculty of Applied Sciences, Ibn Zohr University

Mahani Zouhir

zouhir.mahani@gmail.com

Engineering Sciences and Energy Management Laboratory, ENSA, Ibn Zohr University

DOI: https://doi.org/10.2478/mjpaa-2022-0007 | Journal eISSN: 2351-8227

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Language: English

Page range: 78 - 91

Submitted on: Dec 21, 2020

Accepted on: Jun 17, 2021

Published on: Jan 13, 2022

Published by: Sciendo

In partnership with: Paradigm Publishing Services

Publication frequency: 3 issues per year

Keywords:

American option,

Artificial neural network,

Black-Scholes equation,

Monte Carlo simulation,

Option pricing,

Radial basis function

Related subjects:

Differential equations and dynamical systems,

Probability and statistics,

Numerical and computational mathematics

© 2022 El Kharrazi Zaineb, Saoud Sahar, Mahani Zouhir, published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

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