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Revista de Administração (São Paulo)

Print version ISSN 0080-2107

Abstract

MACIEL, Leandro dos Santos; BALLINI, Rosangela  and  SILVEIRA, Rodrigo Lanna Franco da. Pricing R$/USD exchange rate options: a comparison between the Black model and the artificial neural networks model. Rev. Adm. (São Paulo) [online]. 2012, vol.47, n.1, pp.96-111. ISSN 0080-2107.  https://doi.org/10.5700/rausp1028.

In this study, a multilayer neural network model was applied to the pricing of R$/USD exchange rate call options traded on the São Paulo Securities, Commodities and Futures Exchange (BM&FBovespa) from January 2004 to December 2007. Based on the actual market prices, the performances of a neural network model and the Black model were compared, using the usual error metrics and statistical tests. Overall, the results showed that the artificial intelligence model outperformed the Black model for the different degrees of moneyness.

Keywords : artificial neural networks; options pricing; Black model.

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