Journal of Mathematical Finance

Volume 9, Issue 3 (August 2019)

ISSN Print: 2162-2434   ISSN Online: 2162-2442

Google-based Impact Factor: 0.87  Citations  h5-index & Ranking

Derivatives Pricing via Machine Learning

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DOI: 10.4236/jmf.2019.93029    1,496 Downloads   7,045 Views  Citations

ABSTRACT

In this paper, we combine the theory of stochastic process and techniques of machine learning with the regression analysis, first proposed by [1] to solve for American option prices, and apply the new methodologies on financial derivatives pricing. Rigorous convergence proofs are provided for some of the methods we propose. Numerical examples show good applicability of the algorithms. More applications in finance are discussed in the Appendices.

Share and Cite:

Ye, T. and Zhang, L. (2019) Derivatives Pricing via Machine Learning. Journal of Mathematical Finance, 9, 561-589. doi: 10.4236/jmf.2019.93029.

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