learningBlackScholes

Create a simple neural network with one hidden layer to price options, reproducting the Black Scholes formula's results

bs5.ipynb

Create a dataframe with 24,000 input values, varying S, X and T, but constant $\sigma$ and, following Hutchinson, Lo and Poggio (HLP) (2004)
Option values are calculated with BSM european call pricing model from Hilpisch (2014)

Name		Name	Last commit message	Last commit date
Latest commit History 26 Commits
.ipynb_checkpoints		.ipynb_checkpoints
BS.ipynb		BS.ipynb
BS2.ipynb		BS2.ipynb
BS3.ipynb		BS3.ipynb
LBS_Neural_Net.ipynb		LBS_Neural_Net.ipynb
README.md		README.md
bs1.ipynb		bs1.ipynb
bs5.ipynb		bs5.ipynb

Provide feedback