Option Pricing and Local Volatility Surface by Physics-Informed Neural Network.

Autor:	Bae, Hyeong-Ohk, Kang, Seunggu, Lee, Muhyun
Předmět:	ARTIFICIAL neural networks PRICES BROWNIAN motion ELASTICITY GREEKS
Zdroj:	Computational Economics; Nov2024, Vol. 64 Issue 5, p3143-3159, 17p
Abstrakt:	We use an artificial neural network for finance in two directions: to estimate prices and Greeks based on the geometric Brownian motion and the constant elasticity of variance model for European options, and to construct a local volatility surface. To show the efficiency and successful usage of the network, we compare prices and Greeks obtained by a solution formula and by the artificial neural network when there is a solution formula is known. Then, we calculate Dupire's equations to construct a local volatility surface by the network. [ABSTRACT FROM AUTHOR]
Databáze:	Complementary Index
Externí odkaz:	Zobrazit plný text záznamu Full text from SpringerLink