Neural Networks for Option Pricing and Hedging : A Literature Review

Neural networks have been used as a nonparametric method for option pricing and hedging since the early 1990s. Far over a hundred papers have been published on this topic. This note intends to provide a comprehensive review. Papers are compared in terms of input features, output variables, benchmark models, performance measures, data partition methods, and underlying assets. Furthermore, related work and regularisation techniques are discussed

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Year of publication:	2020
Authors:	Ruf, Johannes
Other Persons:	Wang, Weiguan (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Hedging \| Neuronale Netze \| Neural networks \| Optionspreistheorie \| Option pricing theory \| Derivat \| Derivative \| Bibliometrie \| Bibliometrics

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