Heston-GA Hybrid Option Pricing Model Based on ResNet50
(1) Background. This study aims to improve the accuracy of the pricing model. (2) Methods. Heston model is combined with ResNet50 convolutional neural network model. Based on the optimization of Heston model parameters by genetic algorithm (GA), ResNet50 model is used to correct the deviation betwee...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Wiley
2022-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2022/7274598 |
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| _version_ | 1832548812506267648 |
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| author | Zheng Yang Liqin Zhang Xiangxing Tao Yanting Ji |
| author_facet | Zheng Yang Liqin Zhang Xiangxing Tao Yanting Ji |
| author_sort | Zheng Yang |
| collection | DOAJ |
| description | (1) Background. This study aims to improve the accuracy of the pricing model. (2) Methods. Heston model is combined with ResNet50 convolutional neural network model. Based on the optimization of Heston model parameters by genetic algorithm (GA), ResNet50 model is used to correct the deviation between market option price and Heston price, so a new hybrid option pricing model is established based on the empirical research on the European call options of Huatai-PB CSI 300ETF (code 510300), Harvest CSI 300ETF (code 159919), and SSE 50ETF (code 510050). (3) Results. The pricing result of the hybrid model is better than other single models and hybrid models. The model is applicable to the pricing of options with short and long remaining terms. (4) Conclusions. It is shown that the combination of Heston model and ResNet50 model with optimized parameters can ensure the interpretability of the model and enhance the nonlinear fitting ability of the model, which confirms the effectiveness of the hybrid model and provides a reference for investors and institutions to make scientific decisions. |
| format | Article |
| id | doaj-art-497edc2d0ec6452b8489eeb435517547 |
| institution | Kabale University |
| issn | 1607-887X |
| language | English |
| publishDate | 2022-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-497edc2d0ec6452b8489eeb4355175472025-02-03T06:13:01ZengWileyDiscrete Dynamics in Nature and Society1607-887X2022-01-01202210.1155/2022/7274598Heston-GA Hybrid Option Pricing Model Based on ResNet50Zheng Yang0Liqin Zhang1Xiangxing Tao2Yanting Ji3Department of MathematicsDepartment of MathematicsDepartment of MathematicsDepartment of Mathematics(1) Background. This study aims to improve the accuracy of the pricing model. (2) Methods. Heston model is combined with ResNet50 convolutional neural network model. Based on the optimization of Heston model parameters by genetic algorithm (GA), ResNet50 model is used to correct the deviation between market option price and Heston price, so a new hybrid option pricing model is established based on the empirical research on the European call options of Huatai-PB CSI 300ETF (code 510300), Harvest CSI 300ETF (code 159919), and SSE 50ETF (code 510050). (3) Results. The pricing result of the hybrid model is better than other single models and hybrid models. The model is applicable to the pricing of options with short and long remaining terms. (4) Conclusions. It is shown that the combination of Heston model and ResNet50 model with optimized parameters can ensure the interpretability of the model and enhance the nonlinear fitting ability of the model, which confirms the effectiveness of the hybrid model and provides a reference for investors and institutions to make scientific decisions.http://dx.doi.org/10.1155/2022/7274598 |
| spellingShingle | Zheng Yang Liqin Zhang Xiangxing Tao Yanting Ji Heston-GA Hybrid Option Pricing Model Based on ResNet50 Discrete Dynamics in Nature and Society |
| title | Heston-GA Hybrid Option Pricing Model Based on ResNet50 |
| title_full | Heston-GA Hybrid Option Pricing Model Based on ResNet50 |
| title_fullStr | Heston-GA Hybrid Option Pricing Model Based on ResNet50 |
| title_full_unstemmed | Heston-GA Hybrid Option Pricing Model Based on ResNet50 |
| title_short | Heston-GA Hybrid Option Pricing Model Based on ResNet50 |
| title_sort | heston ga hybrid option pricing model based on resnet50 |
| url | http://dx.doi.org/10.1155/2022/7274598 |
| work_keys_str_mv | AT zhengyang hestongahybridoptionpricingmodelbasedonresnet50 AT liqinzhang hestongahybridoptionpricingmodelbasedonresnet50 AT xiangxingtao hestongahybridoptionpricingmodelbasedonresnet50 AT yantingji hestongahybridoptionpricingmodelbasedonresnet50 |