Citation Export
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 배형옥 | - |
dc.contributor.author | 강승구 | - |
dc.contributor.author | 민찬호 | - |
dc.contributor.author | 남상윤 | - |
dc.date.issued | 2024-06 | - |
dc.identifier.issn | 1738-124X | - |
dc.identifier.uri | https://aurora.ajou.ac.kr/handle/2018.oak/36031 | - |
dc.description.abstract | Deep learning, utilizing artificial neural networks, offers capabilities in solving parametric Black-Scholes Equations under local volatility models. This study introduces dual-training methodology to calculate option price and implied volatility simultaneously, utilizing market data. For that, we use the Physics-Informed Neural Network as a deep learning, a novel approach harnessing physical information to efficiently solve parametric partial differential equations. The network provides two key advantages: construction of implied volatility surface on continuous state set, and allowing predictions at unobserved market values. This study presents a refined tool to practitioners in analyzing the local volatility model. | - |
dc.language.iso | Eng | - |
dc.publisher | 한국금융공학회 | - |
dc.title | Option Pricing and Construction of Implied Volatility Surface based on Physics-Informed Neural Network | - |
dc.title.alternative | PINN을 활용한 옵션 평가와 변동성 곡면 구현 | - |
dc.type | Article | - |
dc.citation.endPage | 36 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 19 | - |
dc.citation.title | 金融工學硏究 | - |
dc.citation.volume | 23 | - |
dc.identifier.bibliographicCitation | 金融工學硏究, Vol.23 No.2, pp.19-36 | - |
dc.identifier.doi | 10.35527/kfedoi.2024.23.2.002 | - |
dc.subject.keyword | Option pricing | - |
dc.subject.keyword | Local volatility | - |
dc.subject.keyword | Neural Network | - |
dc.subject.keyword | Black-Scholes equation (BSE) | - |
dc.subject.keyword | Physics-informed neural network (PINN) | - |
dc.subject.keyword | 옵션 가격 평가 | - |
dc.subject.keyword | 국소 변동성 | - |
dc.subject.keyword | 신경망 | - |
dc.subject.keyword | 블랙-숄즈 방정식(BSE) | - |
dc.subject.keyword | 물리 정보 기반 신경망(PINN) | - |
dc.type.other | Article | - |
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