This paper studies option pricing based on a reverse engineering (RE) approach. We utilize artificial intelligence in order to numerically compute the prices of options. The data consist of more than 5000 call- and put-options from the German stock market. First, we find that option pricing...

This paper studies option pricing based on a reverse engineering (RE) approach. We utilize artificial intelligence in order to numerically compute the prices of options. The data consist of more than 5000 call- and put-options from the German stock market. First, we find that option pricing...

Many alternative data-adaptive algorithms can be used to learn a predictor based on observed data. Examples of such learners include decision trees, neural networks, support vector regression, least angle regression, logic regression, and the Deletion/Substitution/Addition algorithm. The optimal...

Many alternative data-adaptive algorithms can be used to learn a predictor based on observed data. Examples of such learners include decision trees, neural networks, support vector regression, least angle regression, logic regression, and the Deletion/Substitution/Addition algorithm. The optimal...