Deeply Learning Derivatives

@article{Ferguson2018DeeplyLD,
  title={Deeply Learning Derivatives},
  author={Ryan Ferguson and Andrew Green},
  journal={CompSciRN: Artificial Intelligence (Topic)},
  year={2018}
}
  • Ryan Ferguson, Andrew Green
  • Published 6 September 2018
  • Economics, Computer Science, Mathematics
  • CompSciRN: Artificial Intelligence (Topic)
This paper uses deep learning to value derivatives. The approach is broadly applicable, and we use a call option on a basket of stocks as an example. We show that the deep learning model is accurate and very fast, capable of producing valuations a million times faster than traditional models. We develop a methodology to randomly generate appropriate training data and explore the impact of several parameters including layer width and depth, training data quality and quantity on model speed and… Expand
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