Pricing 50ETF Option Based on Genetic Algorithm BP Model

Pricing financial derivatives is focus in finance theory and practice. Comparing to the traditional parameter model pricing method, the neural network method has obvious advantages in solving this problem. In this paper,we will price the option of Shanghai 50ETF based on the improved BP neural netwo...

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Bibliographic Details
Published inMATEC Web of Conferences Vol. 227; p. 2010
Main Author Du, Yulin
Format Journal Article Conference Proceeding
LanguageEnglish
Published Les Ulis EDP Sciences 01.01.2018
Subjects
Genetic algorithms
Model accuracy
Neural networks
Pricing
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Summary:Pricing financial derivatives is focus in finance theory and practice. Comparing to the traditional parameter model pricing method, the neural network method has obvious advantages in solving this problem. In this paper,we will price the option of Shanghai 50ETF based on the improved BP neural network model (GABP). The results show that the effect of neural network is better than that of B-S model, and the accuracy of GABP model is higher than that of BP neural network model and B-S model.
ISSN:2261-236X
2274-7214
2261-236X
DOI:10.1051/matecconf/201822702010