Pricing options with exponential Lévy neural network

作者：

Highlights：

• A new non-parametric model, using neural networks, is proposed for option pricing.

• The model fully integrates neural networks with a conventional pricing model.

• It improves the existing network-based models to avoid several essential issues.

• The tests show that the hybrid model is outstanding in terms of fitting and stability.

摘要

•A new non-parametric model, using neural networks, is proposed for option pricing.•The model fully integrates neural networks with a conventional pricing model.•It improves the existing network-based models to avoid several essential issues.•The tests show that the hybrid model is outstanding in terms of fitting and stability.

论文关键词：Exponential Lévy model,Artificial neural network,Non-parametric model,Option pricing

论文评审过程：Received 1 October 2018, Revised 5 March 2019, Accepted 5 March 2019, Available online 5 March 2019, Version of Record 12 March 2019.

论文官网地址：https://doi.org/10.1016/j.eswa.2019.03.008