Du Plooy, Ryno; Venter, Pierre J. - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-18
In this paper, the pricing performances of two learning networks, namely an artificial neural network and a bootstrap aggregating ensemble network, were compared when pricing the Johannesburg Stock Exchange (JSE) Top 40 European call options in a modern option pricing framework using a...