Using machine learning to improve options pricing

Liyana Reza, Research Analyst (London)

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The daily closing price of equity options can affect the asset value of funds and their ability to cover potential losses. As such, it’s an important metric. However, there’s no reliable mechanism for establishing this price due to some of the peculiarities of options trading. This paper explores the possibility of using a machine learning model to improve end-of-day options pricing.

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