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Neural networks for option pricing and hedging: a literature review
November 13, 2019 Β· Declared Dead Β· π Journal of Computational Finance
"No code URL or promise found in abstract"
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Authors
Johannes Ruf, Weiguan Wang
arXiv ID
1911.05620
Category
q-fin.CP
Cross-listed
cs.LG,
q-fin.RM,
q-fin.ST,
stat.ML
Citations
145
Venue
Journal of Computational Finance
Last Checked
3 months ago
Abstract
Neural networks have been used as a nonparametric method for option pricing and hedging since the early 1990s. Far over a hundred papers have been published on this topic. This note intends to provide a comprehensive review. Papers are compared in terms of input features, output variables, benchmark models, performance measures, data partition methods, and underlying assets. Furthermore, related work and regularisation techniques are discussed.
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