Gradojevic, Nikola; Kukolj, Dragan; Gencay, Ramazan - In: Review of Economic Analysis 3 (2011) 2, pp. 109-128
This paper reviews the recent option pricing literature and investigates how clustering and classification can assist option pricing models. Specifically, we consider non-parametric modular neural network (MNN) models to price the S&P-500 European call options. The focus is on decomposing and...
