“Option pricing and trading with artificial neural networks and advanced parametric models with implied parameters”, with C. Charalambous and S. Martzoukos, IEEE International Joint Conference on Neural Networks, vol. 4, pp. 2741–2746, July 2004.
We combine parametric models and feedforward artificial neural networks to price and trade European S&P500 Index options. Artificial neural networks are optimised on a hybrid target function consisted by the standardised residual term between the actual market price and the option estimate of a certain parametric model.