proper initial guess. The technique is then applied to concrete market options and the stability of the different approaches …

This paper proposes a data-driven approach, by means of an Artificial Neural Network (ANN), to value financial options …

I document a sizeable bias that might arise when valuing out of the money American options via the Least Square Method … American option might even fall below the price of its European counterpart. For call options, this is likely to occur when the …

VaR and CVaR metrics, the identification of optimal portfolios, and the pricing of European-style basket options. We … shortfall) of portfolio returns. Additionally, European-style basket options written on the extreme and average stock prices or … a systemic risk asset) with eight ordinary assets representing diverse industries. Using historical assets and options …