Option valuation under no-arbitrage constraints with neural networks

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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...

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Bibliographic Details
Main Authors:	Cao, Yi, Liu, Xiaoquan, Zhai, Jia
Format:	Article
Language:	English
Published:	2021
Subjects:	Finance；Artificial neural networks; Implied volatilities; Option greeks; Hedging
Online Access:	https://eprints.nottingham.ac.uk/65405/

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