Morelli, Marco J; Montagna, Guido; Nicrosini, Oreste; … - In: Physica A: Statistical Mechanics and its Applications 338 (2004) 1, pp. 160-165
Neural network algorithms are applied to the problem of option pricing and adopted to simulate the nonlinear behavior of such financial derivatives. Two different kinds of neural networks, i.e. multi-layer perceptrons and radial basis functions, are used and their performances compared in...