运筹与管理2024，Vol.33Issue(9)：201-207,7.DOI:10.12005/orms.2024.0306
基于深度学习的上证50ETF期权定价研究
Pricing SSE 50ETF Option Based on Deep Learning
摘要
Abstract
With the rapid development of the new generation of information technology,Al methods have been widely used in many areas of the financial industry,such as asset pricing,investment portfolio,algorithmic trading,risk management,credit approval and fraud detection.At present,benefiting from the computing power and predictive performance of Al technology,many financial institutions or government regulators are beginning to use Al technology(including machine learning)to improve the efficiency of their daily operations.In recent years,with the popularization of massively parallel computing and GPU devices,the computing power of computers has been greatly improved.In addition,the scale of data available for machine learning is growing.Therefore,thanks to an increase in data,the enhancement of computing power,the maturity of learning algorithms and the richness of application scenarios,deep learning methods based on neural networks have improved and developed rapidly.As we all know,option is one of the most important derivatives in risk manage-ment practice such as hedging risk and hedging.With the wide application of derivatives in risk transfer in financial markets,the accurate and efficient pricing of options has become the most important and challenging key scientific problems in modern financial economics.At present,a large number of scholars have begun to turn to the application of deep learning in the field of financial derivative pricing. The deep learning method is introduced into European option pricing in this paper,which constructs a data-driven non-parametric option pricing model based on deep neural network.The empirical research is conducted using the sample data of SSE 50ETF call options and put options,and a comparative analysis is made with the classical Black-Scholes model.Specifically,from the perspective of root mean square error,the DNN model improves the pricing power of SSE 50ETF call options by 76.97％compared to the BS model,while for put options it improves by 70.27％.From the perspective of average absolute percentage error,the DNN model improves the pricing power of call options by 63.74％and put options by 64.88％compared to the BS model.Additionally,from MSE,RMSE and MAE perspectives,as virtual value degree weakens and real value degree strengthens,out-of-sample pricing error of DNN model gradually increases indicating that virtual options generally have lower pricing errors than real options or value options do.However,from the MAPE perspective,as virtual value degree weakens and real value degree strengthens,the out-of-sample pricing error of the model gradually decreases,that is to say,the pricing error for real value options is generally lower than that for virtual or value ones.The selection of evaluation indices to assess the model does not have a uniform requirement,and the corre-sponding index can be chosen based on the actual needs of investment decision-making.From the perspective of MAPE,it is observed that as the remaining duration increases,the out-of-sample pricing error of SSE 50ETF options based on the DNN model gradually decreases.Particularly,in terms of pricing performance,flat options,real options,and deep real options show better results in medium-term and long-term scenarios.Therefore,this research not only enriches and enhances the application of existing non-parametric option pricing theory in China's option market but also provides valuable references for investors and risk managers with significant theoretical value and practical significance. Of course,there are still some shortcomings in this study.For example,we can further consider implied volatility,SSE 50ETF volatility index iVX,conditional heteroscedasticity model,etc.,in the selection of volatil-ity.In terms of the input variables dimension of the deep neural network,we can further consider the influence of macroeconomic policy,investor sentiment,market liquidity and other factors on option pricing.The classical parametric option pricing models(such as the Heston model,double exponential jump model,variance gamma model)can be enhanced by introducing a deep learning method to build a hybrid option pricing model.Additionally,it is also an important topic worth exploring in the future how to mine financial text data and incor-porate it into option pricing.关键词
数据驱动/深度学习/期权定价/Black-Scholes模型/上证50ETF期权Key words
data-driven/deep learning/option pricing/Black-Scholes model/SSE 50ETF option分类
管理科学引用本文复制引用
李哲,王超,张卫国,易志高..基于深度学习的上证50ETF期权定价研究[J].运筹与管理,2024,33(9):201-207,7.基金项目
国家自然科学基金青年基金项目(71901124) （71901124）
广东省基础与应用基础研究基金面上项目(2023A1515012494) （2023A1515012494）
