A neural network approach to pricing of a European Call Option with the Heston model Thesis

short description

  • Master's thesis

Thesis author

  • Guerrero Torres, Sandra Patricia

abstract

  • In this thesis, we implement deep learning to option pricing. A data-driven approach is proposed, through an Artificial Neural Network (ANN), to calculate the price of European call options with the Heston stochastic volatility model, in order to accelerate the numerical methods and show the ability of Artificial Neural Network to learn the model from the dataset.

publication date

  • January 15, 2020 8:06 PM

keywords

  • Finite Differences
  • Heston Model
  • Neural networks
  • Option pricing

Document Id

  • a8796770-58b5-40ca-9d57-65dffe5b9efb