/DerivativesPricingNN

Discussing pricing the options using non-parametric models. RBF (Radial Basis Function), MLP (Multi Layer Perceptron), PPR (Projection Pursuit Regression) and SVR (Support Vector Regression).

Primary LanguageJava

Derivatives Pricing (Neural Networks)

• MATLAB project for discussing pricing the options using non-parametric models.

• Non-parametric models used are: RBF (Radial Basis Function), MLP (Multi Layer Perceptron) and PPR (Projection Pursuit Regression).

• Comparing the perfomance of these non-parametric models along with the parametric one (Black-Scholes model).

• This project is a part of assignment for COMP6212 Computational Finance course, 2nd semester, MSc AI, University of Southampton.