Option valuation under no-arbitrage constraints with neural networks

DOI10.1016/j.ejor.2020.12.003zbMath1487.91162OpenAlexW3112507188MaRDI QIDQ2030534

Jia Zhai, Yi Cao, Xiaoquan Liu

Publication date: 7 June 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://eprints.nottingham.ac.uk/65405/1/Combine.pdf

zbMATH Keywords

hedgingartificial neural networksfinanceimplied volatilitiesoption Greeks

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Learning and adaptive systems in artificial intelligence (68T05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

• h2o
• Adam
• H2O
• MWMOTE
• SMOTE
• gradDescentR

Cites Work

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