相关论文: Pricing European Options with Google AutoML, Tenso…

Developing a reliable parametric cost model at the conceptual stage of the project is crucial for projects managers and decision-makers. Existing methods, such as probabilistic and statistical algorithms have been developed for project cost…

Neural networks have been used as a nonparametric method for option pricing and hedging since the early 1990s. Far over a hundred papers have been published on this topic. This note intends to provide a comprehensive review. Papers are…

The ability to identify stock market trends has obvious advantages for investors. Buying stock on an upward trend (as well as selling it in case of downward movement) results in profit. Accordingly, the start and end-points of the trend are…

This paper explores the use of deep residual networks for pricing European options on Petrobras, one of the world's largest oil and gas producers, and compares its performance with the Black-Scholes (BS) model. Using eight years of…

Artificial neural networks (ANNs) have recently also been applied to solve partial differential equations (PDEs). In this work, the classical problem of pricing European and American financial options, based on the corresponding PDE…

In the framework of Black-Scholes-Merton model of financial derivatives, a path integral approach to option pricing is presented. A general formula to price European path dependent options on multidimensional assets is obtained and…

This paper explores the application of Machine Learning techniques for pricing high-dimensional options within the framework of the Uncertain Volatility Model (UVM). The UVM is a robust framework that accounts for the inherent…

We propose a neural network approach to price EU call options that significantly outperforms some existing pricing models and comes with guarantees that its predictions are economically reasonable. To achieve this, we introduce a class of…

In recent years, Machine Learning algorithms, in particular supervised learning techniques, have been shown to be very effective in solving regression problems. We compare the performance of a newly proposed regression algorithm against…

Performance complementarity of solvers available to tackle black-box optimization problems gives rise to the important task of algorithm selection (AS). Automated AS approaches can help replace tedious and labor-intensive manual selection,…

In this research, we explore neural network-based methods for pricing multidimensional American put options under the BlackScholes and Heston model, extending up to five dimensions. We focus on two approaches: the Time Deep Gradient Flow…

Option pricing models, essential in financial mathematics and risk management, have been extensively studied and recently advanced by AI methodologies. However, American option pricing remains challenging due to the complexity of…

In incomplete financial markets, pricing and hedging European options lack a unique no-arbitrage solution due to unhedgeable risks. This paper introduces a constrained deep learning approach to determine option prices and hedging strategies…

We consider two data-driven approaches to hedging, Reinforcement Learning and Deep Trajectory-based Stochastic Optimal Control, under a stepwise mean-variance objective. We compare their performance for a European call option in the…

We develop a novel deep learning approach for pricing European options in diffusion models, that can efficiently handle high-dimensional problems resulting from Markovian approximations of rough volatility models. The option pricing partial…

AutoML serves as the bridge between varying levels of expertise when designing machine learning systems and expedites the data science process. A wide range of techniques is taken to address this, however there does not exist an objective…

Traffic forecasting is vital for Intelligent Transportation Systems, for which Machine Learning (ML) methods have been extensively explored to develop data-driven Artificial Intelligence (AI) solutions. Recent research focuses on modelling…

The accurate valuation of financial derivatives plays a pivotal role in the finance industry. Although closed formulas for pricing are available for certain models and option types, exemplified by the European Call and Put options in the…

In recent years, machine learning (ML) techniques have become a powerful tool for improving the accuracy of predictions and decision-making. Machine learning technologies have begun to penetrate all areas, including the real estate sector.…

In this paper, we price European Call three different option pricing models, where the volatility is dynamically changing i.e. non constant. In stochastic volatility (SV) models for option pricing a closed form approximation technique is…