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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Bae, Hyeong Ohk | - |
| dc.contributor.author | Kang, Seunggu | - |
| dc.contributor.author | Lee, Muhyun | - |
| dc.date.issued | 2024-11-01 | - |
| dc.identifier.uri | https://dspace.ajou.ac.kr/dev/handle/2018.oak/33957 | - |
| dc.description.abstract | We use an artificial neural network for finance in two directions: to estimate prices and Greeks based on the geometric Brownian motion and the constant elasticity of variance model for European options, and to construct a local volatility surface. To show the efficiency and successful usage of the network, we compare prices and Greeks obtained by a solution formula and by the artificial neural network when there is a solution formula is known. Then, we calculate Dupire’s equations to construct a local volatility surface by the network. | - |
| dc.description.sponsorship | Bae (NRF-2021R1A2C109338) have been partially supported by Basic Science Research Progream through the National Research Foundation of Korea (NRF) funded by the Ministry of Education, Science and Technology, and by Ajou Research Fund. | - |
| dc.language.iso | eng | - |
| dc.publisher | Springer | - |
| dc.title | Option Pricing and Local Volatility Surface by Physics-Informed Neural Network | - |
| dc.type | Article | - |
| dc.citation.endPage | 3159 | - |
| dc.citation.startPage | 3143 | - |
| dc.citation.title | Computational Economics | - |
| dc.citation.volume | 64 | - |
| dc.identifier.bibliographicCitation | Computational Economics, Vol.64, pp.3143-3159 | - |
| dc.identifier.doi | 10.1007/s10614-024-10551-2 | - |
| dc.identifier.scopusid | 2-s2.0-85185120349 | - |
| dc.identifier.url | https://www.springer.com/journal/10614 | - |
| dc.subject.keyword | 68T07 | - |
| dc.subject.keyword | 91G20 | - |
| dc.subject.keyword | Artificial neural network | - |
| dc.subject.keyword | Black–Scholes equation (BSE) | - |
| dc.subject.keyword | C63 | - |
| dc.subject.keyword | Constant elasticity of variance (CEV) | - |
| dc.subject.keyword | G13 | - |
| dc.subject.keyword | Option pricing, Local volatility | - |
| dc.subject.keyword | Physics-informed neural network (PINN) | - |
| dc.description.isoa | false | - |
| dc.subject.subarea | Economics, Econometrics and Finance (miscellaneous) | - |
| dc.subject.subarea | Computer Science Applications | - |
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