Gradojevic, Nikola; Gencay, Ramazan; Kukolj, Dragan - Rimini Centre for Economic Analysis (RCEA) - 2009
This paper investigates a non-parametric modular neural network (MNN) model to price the S&P-500 European call options. The modules are based on time to maturity and moneyness of the options. The option price function of interest is homogenous of degree one with respect to the underlying index...