Can a Machine Correct Option Pricing Models?

Business & Economics

• Option Pricing Model 100%
• Implied Volatility Surface 61%
• Pricing Errors 55%
• Parametric Model 50%
• Nonparametric Test 37%
• Feedforward Neural Networks 30%
• Neural Networks 25%
• Mispricing 24%
• Black-Scholes 24%
• Performance 24%
• Cross Section 23%
• Misspecification 23%
• Stochastic Volatility Model 23%
• Out-of-sample Forecasting 22%
• Ad Hoc 21%
• Train 20%
• Exercise 16%

Mathematics

• Implied Volatility 49%
• Pricing 36%
• Parametric Model 35%
• Performance 29%
• Model 27%
• Feedforward Neural Networks 22%
• Black-Scholes 22%
• Stochastic Volatility Model 22%
• Large Data Sets 20%
• Misspecification 19%
• Non-parametric test 19%
• Exercise 17%
• Cross section 16%
• Neural Networks 15%
• Predict 15%
• Prediction 13%
• Demonstrate 10%

Social Sciences

• pricing 83%
• neural network 24%
• performance 14%