Option pricing using Machine Learning

作者：

Highlights：

• Empirical comparison study on crude oil call options.

• Machine Learning methods outperform Black Scholes and Corradu Su models.

• Additive boosting models have the best prediction performance.

摘要

•Empirical comparison study on crude oil call options.•Machine Learning methods outperform Black Scholes and Corradu Su models.•Additive boosting models have the best prediction performance.

论文关键词：Machine Learning,Option pricing,Nonparametric methods,Implied parameters

论文评审过程：Received 23 March 2020, Revised 9 July 2020, Accepted 26 July 2020, Available online 31 July 2020, Version of Record 5 August 2020.

论文官网地址：https://doi.org/10.1016/j.eswa.2020.113799