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研究生:鄭圳宏
研究生(外文):Cheng, Tsun-Hung
論文名稱:深度學習在選擇權商品定價之探討-以台灣指數選擇權為例
論文名稱(外文):Deep Learning for Option Pricing Using TAIEX Options
指導教授:謝承熹謝承熹引用關係
指導教授(外文):Hsieh, Cheng-Hsi
學位類別:碩士
校院名稱:國立臺北商業大學
系所名稱:財務金融系研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2019
畢業學年度:107
語文別:中文
論文頁數:20
中文關鍵詞:選擇權定價深度學習人工智慧神經網絡
外文關鍵詞:Option PricingDeep LearningArtificial IntelligenceNeural Network
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本研究嘗試將深度學習,應用在選擇權商品的定價,基於Black-Scholes-Merton model (BSM)的基本假設下,本文採用歷史波動度,30日的貨幣市場利率作為無風險利率,並選擇每日成交口數在1000口以上的契約,避免流動性不足造成的極端價格影響模型的訓練成效,並將其以買賣權平價定理(Put-Call-Parity),置換成賣權(Put),以利模型的訓練。
訓練結果顯示,對於深度價內的選擇權合約,神經網絡的誤差略高於BSM模型,但對價平或價外的選擇權合約而言,BSM模型較神經網絡的誤差大,根據還原成價格後的神經網絡與市場價格以及BSM與市場價格的MSE與MAE,整體來說,神經網絡模型略優於BSM模型。
This paper explores the pricing of TAIEX put options with deep learning. We first choose the contracts which volume over 1000 lots to avoid the problem of liquidity, then convert call premiums with high strike price to those of put by using the put-call parity. Moreover, we use TAIEX future, historical volatility, and 30-days money market rate as underlying, volatility, and risk-free rate respectively. The inputs of deep learning include the underlying, strike price, volatility, time to maturity, and risk-free rate, as those in the Black-Scholes-Merton Framework.
The results show that the pricing error of deep learning is small than that of Black-Scholes-Merton model for the at-the-money and out-of-the money contracts, based on the criteria of mean square error and mean absolute error. However, the result is opposite for the in-the-money contract. The summary is that the performance of deep learning is slightly better than that of Black-Scholes-Merton model for all contracts.
摘要 I
Abstract II
謝辭 III
目錄 IV
一、圖次 V
二、表次 V
壹、前言 1
一、研究動機與目的 1
貳、文獻探討 3
參、研究設計 5
一、傳統BLACK-SCHOLES-MERTON選擇權定價模型 5
二、BLACK-SCHOLE-MERTON基本假設 5
三、類神經網絡架構 6
四、激活函數(ACTIVATION FUNCTION) 7
五、損失函數(LOSS FUNCTION) 9
六、過度配適(OVERFITTING) 9
七、資料選取 9
肆、實證研究與結果 12
伍、結論與建議 17
陸、參考文獻 18
柒、附錄 20
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Yang Y. X., Zheng Y. and Hospedales T. M., 2018, “Gated Neural Networks for Option Pricing: Rationality by Design,” Proceeding of the Thirty-First AAAI Conference on Artificial Intelligence (AAAI-17).
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