| Article ID: | iaor20071102 |
| Country: | Germany |
| Volume: | 2 |
| Issue: | 2 |
| Start Page Number: | 155 |
| End Page Number: | 161 |
| Publication Date: | Mar 2005 |
| Journal: | Computational Management Science |
| Authors: | Charalambous Chris, Martzoukos Spiros H. |
| Keywords: | neural networks |
A hybrid valuation methodology is proposed and tested for improving the efficiency of contingent claims pricing by combining Artificial Neural Networks (ANN) and conventional parametric option pricing techniques. With one application on financial derivatives and one on real options the method's superiority is demonstrated. The resulting efficiency is instrumental for real time applications.