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All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Black-Scholes

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Black-Scholes And Neural Networks, Gabriel Adams Aug 2020

Black-Scholes And Neural Networks, Gabriel Adams

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Neural networks have been proven to be universal approximators. We use neural networks to investigate the relationship between the quality of input data and the quality of outputted predictions from a neural network. We show that neural networks perform better on option pricing data with quality data and perform worse with lower quality data.