標題: Deep Learning in Model Risk Neutral Distribution for Option Pricing
作者: Chou, Chin
Liu, Jhih-Chen
Chen, Chiao-Ting
Huang, Szu-Hao
資訊管理與財務金融系 註:原資管所+財金所
Department of Information Management and Finance
關鍵字: option pricing;deep learning;mixture distribution model;risk neutral distribution
公開日期: 1-Jan-2019
摘要: Option pricing has been studied extensively in recent years. An important issue in option pricing is the estimation of the risk neutral distribution of an underlying asset. Better estimation of this distribution can lead to a more rational investment, enabling one to earn an equal return with lower risk. To price options precisely and correctly, traditional financial engineering methods make some assumptions for the risk neutral distribution. However, some assumptions of traditional methods have proved inappropriate and insufficient in empirical option pricing analysis. To address these problems in option pricing, this study adopts a data-driven approach. Owing to advances in hardware and software, studies have been using deep learning methods to price options; however, these have not adequately considered the risk neutral distribution. This may cause an uncontrollable risk, thereby preventing the real-world application of the model. To overcome these problems, this study proposes a deep learning method with a mixture distribution model. Further, it generates a rational risk neutral distribution with accurate empirical pricing analysis.
URI: http://hdl.handle.net/11536/154275
ISBN: 978-1-7281-4026-1
期刊: 2019 IEEE INTERNATIONAL CONFERENCE ON AGENTS (ICA)
起始頁: 95
結束頁: 98
Appears in Collections:Conferences Paper