학술논문
3D Tensor-based Deep Learning Models for Predicting Option Price
Document Type
Conference
Author
Source
2021 International Conference on Information Science and Communications Technologies (ICISCT) Information Science and Communications Technologies (ICISCT), 2021 International Conference on. :1-6 Nov, 2021
Subject
Language
Abstract
Option pricing is a significant problem for option risk management and trading. In this article, we utilize a framework to present financial data from different sources. The data is processed and represented in a form of 2D tensors in three channels. Furthermore, we propose two deep learning models that can deal with 3D tensor data. Experiments performed on the Chinese market option dataset prove the practicability of the proposed strategies over commonly used ways, including B-S model and vector-based LSTM.