Artificial neural network for option pricing with and without asymptotic correction

DOI10.1080/14697688.2020.1812702zbMath1479.91396OpenAlexW3090193327MaRDI QIDQ5014190

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

option pricingMonte Carlo simulationderivativesartificial neural networkWiener-Itô chaos expansiondeep learning

Mathematics Subject Classification ID

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

Related Items

SABR equipped with AI wings ⋮ Heston-GA hybrid option pricing model based on ResNet50

Cites Work

• The Pricing of Options and Corporate Liabilities
• An asymptotic expansion approach to pricing financial contingent claims
• An analytical approximation for single barrier options under stochastic volatility models
• A neural network-based framework for financial model calibration
• An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
• Singular Perturbations in Option Pricing
• An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options
• Machine learning for quantitative finance: fast derivative pricing, hedging and fitting
• American option pricing under the double Heston model based on asymptotic expansion
• A chaos expansion approach under hybrid volatility models
• Learning representations by back-propagating errors
• 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
• AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS