Artificial neural network for option pricing with and without asymptotic correction

DOI10.1080/14697688.2020.1812702MaRDI QIDQ5014190zbMATH OpenOpenAlexFDO

Authors Hideharu Funahashi

Publication date 1 December 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2020.1812702

zbMATH Keywords

deep learningoption pricingMonte Carlo simulationartificial neural networkderivativesWiener-Itô chaos expansion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Artificial neural networks and deep learning (68T07) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60)

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Cites work

• A chaos expansion approach under hybrid volatility models
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A logical calculus of the ideas immanent in nervous activity
• A neural network-based framework for financial model calibration
• American option pricing under the double Heston model based on asymptotic expansion
• An analytical approximation for single barrier options under stochastic volatility models
• An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models
• An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
• An asymptotic expansion approach to pricing financial contingent claims
• An extension of the chaos expansion approximation for the pricing of exotic basket options
• Learning representations by back-propagating errors
• Machine learning for quantitative finance: fast derivative pricing, hedging and fitting
• Singular Perturbations in Option Pricing
• The pricing of options and corporate liabilities

Cited in

(5)

• Robust artificial neural networks for pricing of European options
• Deep weighted Monte Carlo: a hybrid option pricing framework using neural networks
• SABR equipped with AI wings
• Pricing and trading European options by combining artificial neural networks and parametric models with implied parameters
• Heston-GA hybrid option pricing model based on ResNet50

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