Black-Scholes

A study of 2.6 million real option contracts found tree-based ensemble models detected deviations from Black-Scholes pricing with 93.8% accuracy, beating Kernel PCA dimensionality reduction by 21.5 pe…

Researchers introduced Neural Networks with Local Converging Inputs (NNLCI), a method that uses a neural network to correct numerical solutions for pricing multi-asset options, reducing root-mean-squa…