Formulation Of A Rational Option Pricing Model using Artificial Neural Networks

This paper inquires on the options pricing modeling using Artificial Neural Networks to price Apple's European Call Options. The model is based on the premise that ANNs can be used as functional approximators and used as an alternative to the numerical methods to some extent, for a viable and faster solution. We evaluate our predictions using the existing numerical solutions for the same, the analytic solution for the Black-Scholes equation, COS-Model for Heston's Stochastic Volatility Model and Standard Heston-Quasi analytic formula. The aim of this study is to find a viable time-efficient alternative to existing quantitative models for option pricing.