基于深度神经网络的美式期权加速定价

IF 3.2 Q1 BUSINESS, FINANCE Quantitative Finance and Economics Pub Date : 2023-01-01 DOI:10.3934/qfe.2023011
David Anderson, Urban Ulrych
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引用次数: 3

摘要

考虑到做市环境的竞争性,根据不断变化的市场环境快速报价期权的能力至关重要。因此,对传统定价方法的最小加速或改进对于避免套利至关重要。我们提出了一种利用前馈神经网络将美式期权的定价加速到接近瞬时的方法。该神经网络在选定的(例如,赫斯顿)随机波动规范上进行训练。这种方法促进了参数的可解释性,正如监管机构通常所要求的那样,并在金融可解释人工智能(XAI)领域建立了我们的方法。我们表明,与典型的蒙特卡罗或基于偏微分方程的定价方法相比,所提出的深度可解释定价器引起了速度和精度的权衡。此外,所提出的方法允许对具有路径依赖和更复杂收益的衍生品进行定价,并且鉴于计算的足够准确性及其易于处理的性质,适用于做市环境。
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Accelerated American option pricing with deep neural networks
Given the competitiveness of a market-making environment, the ability to speedily quote option prices consistent with an ever-changing market environment is essential. Thus, the smallest acceleration or improvement over traditional pricing methods is crucial to avoid arbitrage. We propose a method for accelerating the pricing of American options to near-instantaneous using a feed-forward neural network. This neural network is trained over the chosen (e.g., Heston) stochastic volatility specification. Such an approach facilitates parameter interpretability, as generally required by the regulators, and establishes our method in the area of eXplainable Artificial Intelligence (XAI) for finance. We show that the proposed deep explainable pricer induces a speed-accuracy trade-off compared to the typical Monte Carlo or Partial Differential Equation-based pricing methods. Moreover, the proposed approach allows for pricing derivatives with path-dependent and more complex payoffs and is, given the sufficient accuracy of computation and its tractable nature, applicable in a market-making environment.
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来源期刊
CiteScore
0.30
自引率
1.90%
发文量
14
审稿时长
12 weeks
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