Option valuation under no-arbitrage constraints with neural networks
In this paper, we start from the no-arbitrage constraints in option pricing and develop a novel hybrid gated neural network (hGNN) based option valuation model. We adopt a multiplicative structure of hidden layers to ensure model differentiability. We also select the slope and weights of input layer...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
2021
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/65405/ |