Abstract: Option pricing is an important study in contemporary finance and it has been extensively studied both in academic literature and industry. Artificial Neural Network is a type of machine learning algorithm that is capable of learning non-linearity in data. This talk, therefore, focuses on leveraging artificial neural networks to pricing European call options. The talk will first give a broad overview of what machine learning is and its types, provide a high-level overview of financial derivatives with the main focus on options. Finally, it would price European call option using artificial neural network and evaluate the performance of the model on both the train and test data sets.
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