{"title":"使用机器学习算法为美式期权定价","authors":"Prudence Djagba, Callixte Ndizihiwe","doi":"arxiv-2409.03204","DOIUrl":null,"url":null,"abstract":"This study investigates the application of machine learning algorithms,\nparticularly in the context of pricing American options using Monte Carlo\nsimulations. Traditional models, such as the Black-Scholes-Merton framework,\noften fail to adequately address the complexities of American options, which\ninclude the ability for early exercise and non-linear payoff structures. By\nleveraging Monte Carlo methods in conjunction Least Square Method machine\nlearning was used. This research aims to improve the accuracy and efficiency of\noption pricing. The study evaluates several machine learning models, including\nneural networks and decision trees, highlighting their potential to outperform\ntraditional approaches. The results from applying machine learning algorithm in\nLSM indicate that integrating machine learning with Monte Carlo simulations can\nenhance pricing accuracy and provide more robust predictions, offering\nsignificant insights into quantitative finance by merging classical financial\ntheories with modern computational techniques. The dataset was split into\nfeatures and the target variable representing bid prices, with an 80-20\ntrain-validation split. LSTM and GRU models were constructed using TensorFlow's\nKeras API, each with four hidden layers of 200 neurons and an output layer for\nbid price prediction, optimized with the Adam optimizer and MSE loss function.\nThe GRU model outperformed the LSTM model across all evaluated metrics,\ndemonstrating lower mean absolute error, mean squared error, and root mean\nsquared error, along with greater stability and efficiency in training.","PeriodicalId":501294,"journal":{"name":"arXiv - QuantFin - Computational Finance","volume":"22 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Pricing American Options using Machine Learning Algorithms\",\"authors\":\"Prudence Djagba, Callixte Ndizihiwe\",\"doi\":\"arxiv-2409.03204\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This study investigates the application of machine learning algorithms,\\nparticularly in the context of pricing American options using Monte Carlo\\nsimulations. Traditional models, such as the Black-Scholes-Merton framework,\\noften fail to adequately address the complexities of American options, which\\ninclude the ability for early exercise and non-linear payoff structures. By\\nleveraging Monte Carlo methods in conjunction Least Square Method machine\\nlearning was used. This research aims to improve the accuracy and efficiency of\\noption pricing. The study evaluates several machine learning models, including\\nneural networks and decision trees, highlighting their potential to outperform\\ntraditional approaches. The results from applying machine learning algorithm in\\nLSM indicate that integrating machine learning with Monte Carlo simulations can\\nenhance pricing accuracy and provide more robust predictions, offering\\nsignificant insights into quantitative finance by merging classical financial\\ntheories with modern computational techniques. The dataset was split into\\nfeatures and the target variable representing bid prices, with an 80-20\\ntrain-validation split. LSTM and GRU models were constructed using TensorFlow's\\nKeras API, each with four hidden layers of 200 neurons and an output layer for\\nbid price prediction, optimized with the Adam optimizer and MSE loss function.\\nThe GRU model outperformed the LSTM model across all evaluated metrics,\\ndemonstrating lower mean absolute error, mean squared error, and root mean\\nsquared error, along with greater stability and efficiency in training.\",\"PeriodicalId\":501294,\"journal\":{\"name\":\"arXiv - QuantFin - Computational Finance\",\"volume\":\"22 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-09-05\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Computational Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2409.03204\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Computational Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2409.03204","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
摘要
本研究探讨了机器学习算法的应用,尤其是在使用蒙特卡洛模拟法为美式期权定价时的应用。传统模型,如布莱克-斯科尔斯-默顿框架,往往无法充分解决美式期权的复杂性,其中包括提前行使能力和非线性报酬结构。本研究将蒙特卡罗方法与最小二乘法机器学习相结合。这项研究旨在提高期权定价的准确性和效率。研究评估了几种机器学习模型,包括神经网络和决策树,突出了它们优于传统方法的潜力。将机器学习算法应用于LSM 的结果表明,将机器学习与蒙特卡罗模拟相结合可以提高定价的准确性,并提供更稳健的预测,通过将经典金融理论与现代计算技术相结合,为定量金融学提供了重要见解。数据集被分为特征和代表投标价格的目标变量,训练-验证的比例为 80-20。使用 TensorFlow 的 Keras API 构建了 LSTM 和 GRU 模型,每个模型都有四个由 200 个神经元组成的隐藏层和一个禁止价格预测的输出层,并使用 Adam 优化器和 MSE 损失函数进行了优化。GRU 模型在所有评估指标上都优于 LSTM 模型,表现出更低的平均绝对误差、均方误差和均方根误差,以及更高的稳定性和训练效率。
Pricing American Options using Machine Learning Algorithms
This study investigates the application of machine learning algorithms,
particularly in the context of pricing American options using Monte Carlo
simulations. Traditional models, such as the Black-Scholes-Merton framework,
often fail to adequately address the complexities of American options, which
include the ability for early exercise and non-linear payoff structures. By
leveraging Monte Carlo methods in conjunction Least Square Method machine
learning was used. This research aims to improve the accuracy and efficiency of
option pricing. The study evaluates several machine learning models, including
neural networks and decision trees, highlighting their potential to outperform
traditional approaches. The results from applying machine learning algorithm in
LSM indicate that integrating machine learning with Monte Carlo simulations can
enhance pricing accuracy and provide more robust predictions, offering
significant insights into quantitative finance by merging classical financial
theories with modern computational techniques. The dataset was split into
features and the target variable representing bid prices, with an 80-20
train-validation split. LSTM and GRU models were constructed using TensorFlow's
Keras API, each with four hidden layers of 200 neurons and an output layer for
bid price prediction, optimized with the Adam optimizer and MSE loss function.
The GRU model outperformed the LSTM model across all evaluated metrics,
demonstrating lower mean absolute error, mean squared error, and root mean
squared error, along with greater stability and efficiency in training.