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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 대한산업공학회 Industrial Engineering & Management Systems Industrial Engineering & Management Systems Vol.20 No.2
- 발행연도
- 2021.6
- 수록면
- 119 - 129 (11page)
- DOI
- 10.7232/iems.2021.20.2.119
이용수
초록· 키워드
오류제보하기
Machine learning models, which have recently been applied to evaluate financial variables, have a major difficulty to accomplish arbitrage-free valuation. We propose an American style option pricing method using multilayer artificial neural networks with arbitrage-free pseudo inputs. The proposed neural network model was trained with samples composed of market data and pseudo grid points generated by the calibrated parametric models. The trained model found arbitrage-free price or nearest price for each strike price and expiration date. We compared the proposed model with a conventional multilayer neural network model in terms of model prediction using S&P 100 American put options from 2012. The proposed model achieved better prediction performance than the conventional neural network model. In addition, prices obtained from the proposed method were much closer to the arbitrage-free prices from the parametric model.
목차
ABSTRACT
1. INTRODUCTION
2. PROPOSED METHOD
3. EMPIRICAL RESULTS
4. CONCLUSIONS
REFERENCES
참고문헌 (58)
참고문헌 신청
Bhattacharyya, S. / 2002 / Knowledge-intensive genetic discovery in foreign exchange markets / IEEE Transactions on Evolutionary Computation 6:169~181
Black, F. / 1973 / The pricing of options and corporate liabilities / The Journal of Political Economy 81(3):637~654
Boyle, P. P. / 1989 / Numerical evaluation of multivariate contingent claims / Review of Financial Studies 2(2):241~250
Boyle, P. P. / 1977 / Options: A monte carlo approach / Journal of financial economics 4:323~338
Broadie, M. / 1997 / Pricing American-style securities using simulation / Journal of Economic Dynamics and Control 21(8-9):1323~1352
Black, F. / 1973 / The pricing of options and corporate liabilities / The Journal of Political Economy 81(3):637~654
Boyle, P. P. / 1989 / Numerical evaluation of multivariate contingent claims / Review of Financial Studies 2(2):241~250
Boyle, P. P. / 1977 / Options: A monte carlo approach / Journal of financial economics 4:323~338
Broadie, M. / 1997 / Pricing American-style securities using simulation / Journal of Economic Dynamics and Control 21(8-9):1323~1352
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