研究者情報 | 神奈川大学

フナハシ　ヒデハル Funahashi Hideharu 舟橋　秀治所属神奈川大学経済学部経済学科/現代ビジネス学科神奈川大学大学院経済学研究科経済学専攻（公共政策コース）職種准教授
言語種別	英語
発行・発表の年月	2021/04
形態種別	学術雑誌
査読	査読あり
標題	Funahashi, H. (2021), "Artficial Neural Network for Option Pricing with and without Asymptotic Correction," Quantitative Finance, 21(4), 575 - 592
執筆形態	単著
掲載区分	国外
概要	This paper proposes a mixed approach of asymptotic expansion (AE) and artificial neural network (ANN) methods for option pricing in order to improve computational speed, stability, and approximation accuracy. By combining the strong points and making up for the weak points of the two methods, our new approach offers the following improvements: (1) much less training data, layers, and nodes are required: (2) the offline training becomes more robust and the online predictions produce more stable and accurate results: and (3) it significantly speeds up the offline calculations.