• Corpus ID: 62974141

Supervised Deep Neural Networks (DNNs) for Pricing/Calibration of Vanilla/Exotic Options Under Various Different Processes

@article{Hirsa2019SupervisedDN,
  title={Supervised Deep Neural Networks (DNNs) for Pricing/Calibration of Vanilla/Exotic Options Under Various Different Processes},
  author={Ali Hirsa and Tugce Karatas and Amir Oskoui},
  journal={ArXiv},
  year={2019},
  volume={abs/1902.05810}
}
We apply supervised deep neural networks (DNNs) for pricing and calibration of both vanilla and exotic options under both diffusion and pure jump processes with and without stochastic volatility. We train our neural network models under different number of layers, neurons per layer, and various different activation functions in order to find which combinations work better empirically. For training, we consider various different loss functions and optimization routines. We demonstrate that deep… 
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21 Citations
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21 Citations

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