@inproceedings{789775572f8c41e2b722563de4e3f626,
title = "American option pricing using multi-layer perceptron and support vector machine",
abstract = "An option is the right to buy or sell an underlying asset at a future date. The field of option pricing produces a challenge because of the complexity with pricing American styled options which cannot be done by the Black-Scholes equations for option pricing. A Multi-Layer Perceptron neural network has been used before to price these options with limited success. In this paper we will compare the performance of a Multi-Layer Perceptron neural network and a Support Vector Machine in pricing American styled options. It was found that a Support Vector Machine approach provided much better results than that found with Multi-Layer Perceptrons.",
keywords = "Kernel function, Multi-Layer Perceptron, Nodes, Option, Support Vector Machines",
author = "Pires, {Michael M.} and Tshilidzi Marwala",
year = "2004",
doi = "10.1109/ICSMC.2004.1399801",
language = "English",
isbn = "0780385667",
series = "Conference Proceedings - IEEE International Conference on Systems, Man and Cybernetics",
pages = "1279--1285",
booktitle = "2004 IEEE International Conference on Systems, Man and Cybernetics, SMC 2004",
note = "2004 IEEE International Conference on Systems, Man and Cybernetics, SMC 2004 ; Conference date: 10-10-2004 Through 13-10-2004",
}