Option pricing using RBFN

Abstract

Option pricing may be one of the most important issues in the trading market. In their 1973 paper, The Pricing of Options and Corporate Liabilities, Fischer Black and Myron Scholes published an option valuation formula that today is known as the Black-Scholes model. It has become the standard method of pricing options. And the large number of market participants use it. It is regarded as the most effective parametric model, but there are some assumptions that is inconsistent with real market. So it`s impossible with BS model to predict exact option price. So in this thesis we get the RBFN learning how option price and the other inputs are related. And furthermore we suggest the hybrid model mixed up Black-Scholes and RBFN.