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Three-Layer Artificial Neural Network for Pricing Multi-Asset European Option
- Source :
- Mathematics, Vol 12, Iss 17, p 2770 (2024)
- Publication Year :
- 2024
- Publisher :
- MDPI AG, 2024.
-
Abstract
- This paper studies an artificial neural network (ANN) for multi-asset European options. Firstly, a simple three-layer ANN-3 is established with undetermined weights and bias. Secondly, the time–space discrete PDE of the multi-asset option is given and the corresponding discrete data are fed into the ANN-3. Then, using least squares error as the objective function, the weights and bias of ANN-3 are trained well. Numerical examples are carried out to confirm the stability, accuracy and efficiency. Experiments show the ANN’s relative error is about 0.8%. This method can be extended into multi-layer ANN-q(q>3) and extended into American options.
Details
- Language :
- English
- ISSN :
- 22277390
- Volume :
- 12
- Issue :
- 17
- Database :
- Directory of Open Access Journals
- Journal :
- Mathematics
- Publication Type :
- Academic Journal
- Accession number :
- edsdoj.545144329a748c3bc370ddc9ee65c50
- Document Type :
- article
- Full Text :
- https://doi.org/10.3390/math12172770