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首页> 外文期刊>International journal of intelligent systems in accounting, finance & management >PRICING AND HEDGING SHORT STERLING OPTIONS USING NEURAL NETWORKS
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PRICING AND HEDGING SHORT STERLING OPTIONS USING NEURAL NETWORKS

机译：使用神经网络定价和套保短期英镑期权

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摘要

This paper compares the performance of artificial neural networks (ANNs) with that of the modified Black model in both pricing and hedging short sterling options. Using high-frequency data, standard and hybrid ANNs are trained to generate option prices. The hybrid ANN is significantly superior to both the modified Black model and the standard ANN in pricing call and put options. Hedge ratios for hedging short sterling options positions using short sterling futures are produced using the standard and hybrid ANN pricing models, the modified Black model, and also standard and hybrid ANNs trained directly on the hedge ratios. The performance of hedge ratios from ANNs directly trained on actual hedge ratios is significantly superior to those based on a pricing model, and to the modified Black model.
机译：本文比较了人工神经网络（ANN）和改进的Black模型在定价和对冲短期英镑期权方面的性能。使用高频数据，对标准ANN和混合ANN进行训练以生成期权价格。混合ANN在看涨期权和看跌期权的定价上均明显优于修改后的Black模型和标准ANN。使用标准和混合ANN定价模型，修改后的Black模型以及直接在对冲比率上训练的标准和混合ANN生成使用空头英镑期货对冲空头英镑期权头寸的对冲比率。直接根据实际套期比率进行训练的人工神经网络的套期比率的性能明显优于基于定价模型和经过修改的Black模型的套期比率。

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