MATEC Web Conf.
Volume 227, 20182018 4th International Conference on Communication Technology (ICCT 2018)
|Number of page(s)||4|
|Section||Communication Technology and Information Engineering|
|Published online||14 November 2018|
Pricing 50ETF Option Based on Genetic Algorithm BP Model
Department of Finance, East China University of Political Science and Law, 201620, Shanghai
a Corresponding author: email@example.com
Pricing financial derivatives is focus in finance theory and practice. Comparing to the traditional parameter model pricing method, the neural network method has obvious advantages in solving this problem. In this paper,we will price the option of Shanghai 50ETF based on the improved BP neural network model (GABP). The results show that the effect of neural network is better than that of B-S model, and the accuracy of GABP model is higher than that of BP neural network model and B-S model.
© The Authors, published by EDP Sciences, 2018
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