American option pricing using multi-layer perceptron and support vector machine

被引：0

作者：

Pires, MM ^{[1
]}

Marwala, T ^{[1
]}

机构：

[1] Univ Witwatersrand, Sch Elect & Informat Engn, Johannesburg, South Africa

来源：

2004 IEEE INTERNATIONAL CONFERENCE ON SYSTEMS, MAN & CYBERNETICS, VOLS 1-7 | 2004年

关键词：

Multi-Layer Perceptron; Support Vector Machines; option; nodes; Kernel function;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

An option is the right to buy or sell an underlying asset at a future date. The field of option pricing produces a challenge because of the complexity with pricing American so,led options which cannot be done by the Black-Scholes equations for option pricing. A Multi-Layer Perceptron neural network has been used before to price these Options with limited success. In this paper we will compare the performance of a Multi-Layer Perceptron neural network and a Support Vector Machine in pricing American styled options. It was found that a Support Vector Machine approach provided much better results than that found with Multi-Layer Perceptrons.

引用

页码：1279 / 1285

页数：7

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