3D Tensor-based Deep Learning Models for Predicting Option Price
Abstract
Option pricing is a significant problem for option risk management and trading. In this article, we utilize a framework to present financial data from different sources. The data is processed and represented in a form of 2D tensors in three channels. Furthermore, we propose two deep learning models that can deal with 3D tensor data. Experiments performed on the Chinese market option dataset prove the practicability of the proposed strategies over commonly used ways, including B-S model and vector-based LSTM.
- Publication:
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arXiv e-prints
- Pub Date:
- June 2021
- DOI:
- 10.48550/arXiv.2106.02916
- arXiv:
- arXiv:2106.02916
- Bibcode:
- 2021arXiv210602916G
- Keywords:
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- Quantitative Finance - Computational Finance