University of Twente Student Theses
Option pricing using Generative Adversarial Networks
Peters, Siem (2024) Option pricing using Generative Adversarial Networks.
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| Abstract: | This master thesis introduces a novel approach to price financial options, namely a GAN-QMC. It combines a Generative Adversarial Network (GAN) with a Quasi-Monte Carlo (QMC) simulation. The main objective is to improve the accuracy and efficiency of option pricing, specifically focusing on overcoming limitations associated with traditional QMC for option pricing. In this research, GANs are used to model the process of the underlying asset, aiming for a realistic representation of financial data as input to the QMC. The developed GAN-QMC was equally accurate as regular QMC for option pricing and more computationally efficient. Overall, the GAN-QMC is an interesting and accurate option pricing method when distributional assumptions are undesirable. |
| Item Type: | Essay (Master) |
| Clients: | Simula Research Laboratory, Oslo, Norway |
| Faculty: | BMS: Behavioural, Management and Social Sciences |
| Subject: | 31 mathematics, 54 computer science, 83 economics |
| Programme: | Industrial Engineering and Management MSc (60029) |
| Link to this item: | https://purl.utwente.nl/essays/98261 |
| Export this item as: | BibTeX EndNote HTML Citation Reference Manager |
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