Three-Layer Artificial Neural Network for Pricing Multi-Asset European Option

Autor:	Zhiqiang Zhou, Hongying Wu, Yuezhang Li, Caijuan Kang, You Wu
Jazyk:	angličtina
Rok vydání:	2024
Předmět:	multi-asset option European option high-dimensional PDE artificial neural network three layers Mathematics QA1-939
Zdroj:	Mathematics, Vol 12, Iss 17, p 2770 (2024)
Druh dokumentu:	article
ISSN:	2227-7390
DOI:	10.3390/math12172770
Popis:	This paper studies an artificial neural network (ANN) for multi-asset European options. Firstly, a simple three-layer ANN-3 is established with undetermined weights and bias. Secondly, the time–space discrete PDE of the multi-asset option is given and the corresponding discrete data are fed into the ANN-3. Then, using least squares error as the objective function, the weights and bias of ANN-3 are trained well. Numerical examples are carried out to confirm the stability, accuracy and efficiency. Experiments show the ANN’s relative error is about 0.8%. This method can be extended into multi-layer ANN-q(q>3) and extended into American options.
Databáze:	Directory of Open Access Journals
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