Calculations of fractional derivative option pricing models based on neural network

DOI10.1016/j.cam.2023.115462MaRDI QIDQ6049282

Ke Duan, Yousheng Tan, Lina Song, Wang Yu

Publication date: 17 October 2023

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

neural networkoption pricingCaputo fractional derivativeconformable fractional derivative

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Learning and adaptive systems in artificial intelligence (68T05) Fractional derivatives and integrals (26A33) Derivative securities (option pricing, hedging, etc.) (91G20) Fractional partial differential equations (35R11)

Cites Work

• Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
• Solving frontier problems of physics: the decomposition method
• A space-time fractional derivative model for European option pricing with transaction costs in fractal market
• Hilfer-Katugampola fractional derivatives
• On the solution of two-dimensional fractional Black-Scholes equation for European put option
• Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation
• Existence, uniqueness, Ulam-Hyers stability and numerical simulation of solutions for variable order fractional differential equations in fluid mechanics
• A new definition of fractional derivative
• European option pricing model based on uncertain fractional differential equation
• Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results
• Time-space fabric underlying anomalous diffusion
• Numerical solution of fractional Black‐Scholes model of American put option pricing via a nonstandard finite difference method: Stability and convergent analysis
• Neural networks and physical systems with emergent collective computational abilities.
• Learning representations by back-propagating errors
• A Fast Learning Algorithm for Deep Belief Nets
• A logical calculus of the ideas immanent in nervous activity
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item