Neural networks for option pricing and hedging: a literature review

Johannes Ruf; Weiguan Wang

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arXiv · 1911.05620

Neural networks for option pricing and hedging: a literature review

Johannes Ruf·Weiguan Wang

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Abstract

Neural networks have been used as a nonparametric method for option pricing and hedging since the early 1990s. Far over a hundred papers have been published on this topic. This note intends to provide a comprehensive review. Papers are compared in terms of input features, output variables, benchmark models, performance measures, data partition methods, and underlying assets. Furthermore, related work and regularisation techniques are discussed.

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Johannes Ruf, Weiguan Wang. 2019-11-13. Neural networks for option pricing and hedging: a literature review. https://arxiv.org/abs/1911.05620

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