Guest Speaker: Sajid Ali (BRU-Iscte)
Time: 16:00
Title: Machine Learning Strategies for Pricing Options in Financial Markets
Abstract: An extensive analysis of European call option pricing on the S&P 500 (SPX) index over 2017–2022, covering both low- and high-volatility regimes. A comprehensive set of models is considered, including the classical Black–Scholes framework and a wide range of machine learning approaches, such as Random Forest, XGBoost, AdaBoost, Support Vector Regression, K-Nearest Neighbours, Linear Regression, and a Neural Network. The study evaluates model performance in terms of pricing accuracy across different market conditions, demonstrating the robustness of ensemble tree-based methods. We also employ explainable AI (XAI) techniques, to analyze contributions of input features in option pricing models.
Session Chair: João Pedro Nunes
Building 4, Room A104
Link to join online:
