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sffdun001/Neural_network_option_pricing_using_PCP_constraint: Neural network option pricing under put-call parity constraint

Domain:

socioeconomic

Record type:

software
Creator:
Duncan Saffy
Editor:
Gebbie, Tim
Publisher:
Zenodo
Host:avatar

This is the first release of code for the replication of the work done for my minor dissertation in partial fulfilment in Masters in Advanced Analytics degree at the university of cape town, 2021. The work investigates creating a neural network to price and delta-hedge options under put-call parity constraint to enforce first-order no arbitrage.

This code can be used for the replication of the work done for my minor dissertation in partial fulfilment in Masters in Advanced Analytics degree at the university of cape town. The work investigates creating a neural network to price and delta-hedge options under put-call parity constraint to enforce first-order no arbitrage. This research was funded by the Statistical Association of South Africa (SASA) and the National Research Fund (NRF).

Visit

doi.org

Tags

Option pricingPut-call parityJohannesburg Stock ExchangeNeural NetworksBlack modelHeston modelBlack-Scholes-Merton model

Licenses

info:eu-repo/semantics/openAccessCreative Commons Attribution 4.0 Internationalhttps://creativecommons.org/licenses/by/4.0/legalcode

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