Reliable option pricing through deep learning: an anomaly score-based approach

DOI10.3934/NHM.2025043MaRDI QIDQ6883110zbMATH OpenFDO

Authors Jihong Park, Jeonggyu Huh, Jaegi Jeon

Publication date 16 December 2025

Published in Networks and Heterogeneous Media (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.3934/NHM.2025043

zbMATH Keywords

anomaly detectiondata reliabilitydeep learningisolation forestoption pricing

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• Empirical properties of asset returns: stylized facts and statistical issues
• High frequency market microstructure noise estimates and liquidity measures
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• The pricing of options and corporate liabilities

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