We combine parametric models and feedforward artificial neural networks to price and trade
European S&P500 Index options. Artificial neural networks are optimized on a hybrid target
function consisted by the standardized residual term between the actual market price and
the option estimate of a certain parametric model. Parametric models include:(i) the Black
and Scholes model that assumes a geometric Brownian motion process (GBM);(ii) the
Corrado and Su that additionally allows for excess skewness and kurtosis via a Gram …

Option pricing and trading with artificial neural networks and advanced parametric models
with implied parameters … Option pricing and trading with artificial neural networks and
advanced parametric models with implied parameters … 2004 IEEE International Joint
Conference on Neural Networks (IEEE Cat.No.04CH37541) …