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Journals
Moroccan Journal of Pure and Applied Analysis
Volume 8 (2022): Issue 1 (January 2022)
Open Access
Pricing American Put Option using RBF-NN: New Simulation of Black-Scholes
El Kharrazi Zaineb
El Kharrazi Zaineb
,
Saoud Sahar
Saoud Sahar
and
Mahani Zouhir
Mahani Zouhir
| Jan 13, 2022
Moroccan Journal of Pure and Applied Analysis
Volume 8 (2022): Issue 1 (January 2022)
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Published Online:
Jan 13, 2022
Page range:
78 - 91
Received:
Dec 21, 2020
Accepted:
Jun 17, 2021
DOI:
https://doi.org/10.2478/mjpaa-2022-0007
Keywords
American option
,
Artificial neural network
,
Black-Scholes equation
,
Monte Carlo simulation
,
Option pricing
,
Radial basis function
© 2021 El Kharrazi Zaineb et al., published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
El Kharrazi Zaineb
Engineering Sciences and Energy Management Laboratory, ENSA, Ibn Zohr University
Saoud Sahar
Technical Research Laboratory, Faculty of Applied Sciences, Ibn Zohr University
Mahani Zouhir
Engineering Sciences and Energy Management Laboratory, ENSA, Ibn Zohr University