Artificial neural network for option pricing with and without asymptotic correction

DOI10.1080/14697688.2020.1812702zbMATH Open1479.91396OpenAlexW3090193327MaRDI QIDQ5014190FDOQ5014190

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

Recommendations

• A neural network approach to option pricing
• scientific article; zbMATH DE number 2033197
• SABR equipped with AI wings
• Beyond Black–Scholes: A Neural Networks-Based Approach to Options Pricing
• Stochastic volatility options pricing with wavelets and artificial neural networks

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)

Cites Work

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

Cited In (5)

• Deep weighted Monte Carlo: a hybrid option pricing framework using neural networks
• SABR equipped with AI wings
• Robust artificial neural networks for pricing of European options
• 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

This page was built for publication: Artificial neural network for option pricing with and without asymptotic correction

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5014190)