A Comparison of Artificial Neural Networks and Bootstrap Aggregating Ensembles in a Modern Financial Derivative Pricing Framework

In this paper, the pricing performances of two learning networks, namely an artificial neural network and a bootstrap aggregating ensemble network, were compared when Johannesburg Stock Exchange (JSE) Top 40 European call options in modern option framework using constructed implied volatility surface. addition to this, numerical accuracy better performing was Monte Carlo simulation separate experiment. It found that outperformed produced price estimates within error bounds derivatives multi-curve setting.