Herzog, Bodo; Osamah, Sufyan - In: International Journal of Financial Studies : open … 7 (2019) 4/68, pp. 1-12
This paper studies option pricing based on a reverse engineering (RE) approach. We utilize artificial intelligence in … 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 …