Neural networks for option pricing and hedging: a literature review

IF 0.8 4区经济学 Q4 BUSINESS, FINANCE

Journal of Computational Finance Pub Date : 2020-01-01 DOI:10.21314/jcf.2020.390

Johannes Ruf,Weiguan Wang

引用次数: 0

Abstract

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 compared in terms of input features, output variables, benchmark models, performance measures, data partition methods, and underlying assets. Furthermore, related work and regularisation techniques are discussed.

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神经网络期权定价与套期保值:文献综述

自20世纪90年代初以来，神经网络已被用作期权定价和套期保值的非参数方法。关于这个话题已经发表了一百多篇论文。本说明旨在提供一个全面的审查。论文在输入特征、输出变量、基准模型、性能度量、数据分区方法和基础资产方面进行比较。此外，还讨论了相关工作和规范化技术。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Computational Finance BUSINESS, FINANCE-

CiteScore

0.90

自引率

0.00%

发文量

期刊介绍： The Journal of Computational Finance is an international peer-reviewed journal dedicated to advancing knowledge in the area of financial mathematics. The journal is focused on the measurement, management and analysis of financial risk, and provides detailed insight into numerical and computational techniques in the pricing, hedging and risk management of financial instruments. The journal welcomes papers dealing with innovative computational techniques in the following areas: Numerical solutions of pricing equations: finite differences, finite elements, and spectral techniques in one and multiple dimensions. Simulation approaches in pricing and risk management: advances in Monte Carlo and quasi-Monte Carlo methodologies; new strategies for market factors simulation. Optimization techniques in hedging and risk management. Fundamental numerical analysis relevant to finance: effect of boundary treatments on accuracy; new discretization of time-series analysis. Developments in free-boundary problems in finance: alternative ways and numerical implications in American option pricing.