Neural networks for option pricing and hedging: a literature review

Johannes Ruf and Weiguan Wang

Papers from arXiv.org

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.

Date: 2019-11, Revised 2020-05
New Economics Papers: this item is included in nep-big and nep-cmp
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Citations: View citations in EconPapers (46)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1911.05620

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