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	2023
形態種別	学術雑誌
査読	査読あり
標題	Funahashi, H. (2023), "SABR Equipped with AI Wings," Quantitative Finance, 23(2), 229 - 249
執筆形態	単著
掲載区分	国外
概要	This study proposes an artificial neural network based option pricing framework under the SABR volatility models. Unlike previous research, we use the technique to train and predict the differences between the implied volatilities calculated by asymptotic approximation and those computed by Monte Carlo simulation. Approximation formulas for options in the SABR models worsen as maturity increases and the underlying asset's volatility is high. The accuracy decreases rapidly in wings, which represents deep in-the-money and out-of-the-money cases. By combining the approximation formulas and ANN framework, our new option pricing method offers the following improvements: (1) the training becomes more robust, and the predictions produce more stable and accurate results: (2) it significantly speeds up the training procedure: and (3) the accuracy and efficiency of approximation are improved in the wings.