Proceedings of the 2nd International Conference on Sustainable Business Practices and Innovative Models (ICSBPIM-2025)

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Enhancing Option Pricing Accuracy: A Comparative Study of Black-Scholes Model and Deep Learning Approaches

Authors
Ramit Sehgal1, Nitendra Kumar2, *
1Amity Business School, Amity University, Noida, Uttar Pradesh, 201303, India
2Amity Business School, Amity University, Noida, Uttar Pradesh, 201303, India
*Corresponding author. Email: nkshukla.kumar4@gmail.com
Corresponding Author
Nitendra Kumar
Available Online 4 November 2025.
DOI
10.2991/978-94-6463-872-1_49How to use a DOI?
Keywords
Black-Scholes model; LSTM neural networks; Option pricing; Real-time financial data; Python; Stock price forecasting
Abstract

Accurate option pricing is essential for investors and financial institutions. Black-Scholes (B&S) models have been widely spread over decades, but some are based on beliefs such as instability and efficient markets that are not applied in real conditions. This study evaluates the effectiveness of the B&S model compared to the expansion of statistical methods in predicting option prices based on real market data. By incorporating historical price trends and volatility estimates, we assess how well each approach captures market fluctuations. The findings indicate that statistical techniques based on historical patterns can enhance accuracy over the traditional B&S model. However, challenges such as data boundaries and interpretation complications persist. This study provides insight into the strength and weaknesses of various pricing approaches, helping to make better financial decisions.

Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2nd International Conference on Sustainable Business Practices and Innovative Models (ICSBPIM-2025)
Series
Advances in Economics, Business and Management Research
Publication Date
4 November 2025
ISBN
978-94-6463-872-1
ISSN
2352-5428
DOI
10.2991/978-94-6463-872-1_49How to use a DOI?
Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Ramit Sehgal
AU  - Nitendra Kumar
PY  - 2025
DA  - 2025/11/04
TI  - Enhancing Option Pricing Accuracy: A Comparative Study of Black-Scholes Model and Deep Learning Approaches
BT  - Proceedings of the 2nd International Conference on Sustainable Business Practices and Innovative Models (ICSBPIM-2025)
PB  - Atlantis Press
SP  - 780
EP  - 809
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-872-1_49
DO  - 10.2991/978-94-6463-872-1_49
ID  - Sehgal2025
ER  -