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
   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
掲載誌名 Quantitative Finance
掲載区分国外
著者・共著者 Hideharu Funahashi
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.