Do-ahead replaces run-time: a neural network forecasts options volatility

Compares three methods of estimating the volatility of daily S&P 100 Index stock market options. The implied volatility, calculated via the Black-Scholes model, is currently the most popular method of estimating volatility and is used by traders in the pricing of options. Historical volatility has been used to predict the implied volatility, but the estimates are poor predictors. A neural network for predicting volatility is shown to be far superior to the historical method.<
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