Gated Neural Networks for Option Pricing: Rationality by Design

14 Sep 2016Yongxin YangYu ZhengTimothy M. Hospedales

We propose a neural network approach to price EU call options that significantly outperforms some existing pricing models and comes with guarantees that its predictions are economically reasonable. To achieve this, we introduce a class of gated neural networks that automatically learn to divide-and-conquer the problem space for robust and accurate pricing... (read more)

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