Artificial Neural Networks Performance in WIG20 Index Options Pricing

被引:7
作者
Wysocki, Maciej [1 ]
Slepaczuk, Robert [2 ]
机构
[1] Univ Warsaw, Fac Econ Sci, Quantitat Finance Res Grp, Ul Dluga 44-50, PL-00241 Warsaw, Poland
[2] Univ Warsaw, Fac Econ Sci, Dept Quantitat Finance, Quantitat Finance Res Grp, Ul Dluga 44-50, PL-00241 Warsaw, Poland
关键词
option pricing; artificial neural networks; implied volatility; supervised learning; index options; Black-Scholes-Merton model; STOCHASTIC VOLATILITY; PARAMETRIC MODELS;
D O I
10.3390/e24010035
中图分类号
O4 [物理学];
学科分类号
0702 ;
摘要
In this paper, the performance of artificial neural networks in option pricing was analyzed and compared with the results obtained from the Black-Scholes-Merton model, based on the historical volatility. The results were compared based on various error metrics calculated separately between three moneyness ratios. The market data-driven approach was taken to train and test the neural network on the real-world options data from 2009 to 2019, quoted on the Warsaw Stock Exchange. The artificial neural network did not provide more accurate option prices, even though its hyperparameters were properly tuned. The Black-Scholes-Merton model turned out to be more precise and robust to various market conditions. In addition, the bias of the forecasts obtained from the neural network differed significantly between moneyness states. This study provides an initial insight into the application of deep learning methods to pricing options in emerging markets with low liquidity and high volatility.
引用
收藏
页数:19
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