| Blac-Scholes模型下美式期权定价的神经网络算法 |
| |
| 引用本文： | 宋海明,侯頔.Blac-Scholes模型下美式期权定价的神经网络算法[J].吉林大学学报(理学版),2021,59(5):1089-1092. |
| |
| 作者姓名： | 宋海明 侯頔 |
| |
| 作者单位： | 吉林大学 数学学院, 长春 130012 |
| |
| 摘 要： | 考虑Black-Scholes模型下的美式看跌期权定价问题. 首先, 基于Black-Scholes模型, 设计一种针对该模型的神经网络算法, 并给出美式期权价格的数值近似； 其次, 通过与传统的二叉树方法对比, 证明该算法的有效性.
|
| 关 键 词： | Black-Scholes模型 美式看跌期权 深度神经网络 |
| 收稿时间： | 2021-05-25 |
Neural Network Algorithm for American Option Pricing under Black-Scholes Model |
| |
| SONG Haiming,HOU Di.Neural Network Algorithm for American Option Pricing under Black-Scholes Model[J].Journal of Jilin University: Sci Ed,2021,59(5):1089-1092. |
| |
| Authors: | SONG Haiming HOU Di |
| |
| Institution: | College of Mathematics, Jilin University, Changchun 130012, China |
| |
| Abstract: | We considered the American put option pricing problem under Black-Scholes model. Firstly, based on the Black-Scholes model, we designed a neural network algorithm for the model, and gave the numerical approximation of the American option price. Secondly, the effectiveness of the algorithm was proved by comparing with the traditional binomial tree method. |
| |
| Keywords: | Black-Scholes model American put option deep neural network |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《吉林大学学报(理学版)》浏览原始摘要信息 |
| 点击此处可从《吉林大学学报(理学版)》下载免费的PDF全文 |
