Corpus ID: 9528543

Gated Neural Networks for Option Pricing: Rationality by Design

  title={Gated Neural Networks for Option Pricing: Rationality by Design},
  author={Yongxin Yang and Yu Zheng and Timothy M. Hospedales},
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 gated neural networks that automatically learn to divide-and-conquer the problem space for robust and accurate pricing. We then derive instantiations of these networks that are 'rational by design' in terms of naturally encoding a valid call option surface… Expand
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This paper inquires on the options pricing modeling using Artificial Neural Networks to price Apple's European Call Options. The model is based on the premise that ANNs can be used as functionalExpand
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In this paper the performance of artificial neural networks in option pricing is analyzed and compared with the results obtained from the Black – Scholes – Merton model based on the historicalExpand
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  • Jeonggyu Huh
  • Computer Science, Economics
  • Expert Syst. Appl.
  • 2019
The ELNN is the first applicable non-parametric exponential Levy model by virtue of outstanding researches on optimization in the field of ANN, which can improve ANN-based models to avoid several essential issues such as unacceptable outcomes and inconsistent pricing of over-the-counter products. Expand


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  • Economics, Computer Science
  • Manag. Sci.
  • 2002
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