市场弹性数据驱动的期权定价方法

arXiv - QuantFin - Mathematical Finance Pub Date : 2024-09-12 DOI:arxiv-2409.08205

Anindya Goswami, Nimit Rana

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引用次数: 0

摘要

本文基于期权定价的无套利理论，提出了一种数据驱动的期权价格预测集合方法。利用这一理论处理方法，我们推导出了实现领域适应的通用表示空间。我们使用一些真实数据证明了这一想法的成功实施。然后，我们报告了几个实验结果，以严格检验衍生定价模型的性能。

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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A market resilient data-driven approach to option pricing

In this paper, we present a data-driven ensemble approach for option price prediction whose derivation is based on the no-arbitrage theory of option pricing. Using the theoretical treatment, we derive a common representation space for achieving domain adaptation. The success of an implementation of this idea is shown using some real data. Then we report several experimental results for critically examining the performance of the derived pricing models.

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arXiv - QuantFin - Mathematical Finance

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