{"title":"A market resilient data-driven approach to option pricing","authors":"Anindya Goswami, Nimit Rana","doi":"arxiv-2409.08205","DOIUrl":null,"url":null,"abstract":"In this paper, we present a data-driven ensemble approach for option price\nprediction whose derivation is based on the no-arbitrage theory of option\npricing. Using the theoretical treatment, we derive a common representation\nspace for achieving domain adaptation. The success of an implementation of this\nidea is shown using some real data. Then we report several experimental results\nfor critically examining the performance of the derived pricing models.","PeriodicalId":501084,"journal":{"name":"arXiv - QuantFin - Mathematical Finance","volume":"419 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Mathematical Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2409.08205","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
In this paper, we present a data-driven ensemble approach for option price
prediction whose derivation is based on the no-arbitrage theory of option
pricing. Using the theoretical treatment, we derive a common representation
space for achieving domain adaptation. The success of an implementation of this
idea is shown using some real data. Then we report several experimental results
for critically examining the performance of the derived pricing models.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
