In today's volatile financial market the demand for an accurate option price forecaster has been a focal point for researchers. The purpose of this study is to forecast option prices using neural networks. Initially simple neural network was implemented using twenty year period data from S&P 500 index call option prices. The prediction result was better than that of traditional Black-Scholes model. A hybrid neural network was developed that utilized aspects of Black- Scholes model into the neural network and tested against the traditional approach and simple neural network. The hybrid neural network outperformed performance of the tradition forecasting model and improved prediction results of simple neural networks.