基于BP神经网络的期权定价模型

The Model of Pricing Methods Based on BP Neural Network

运用BP神经网络的方法,根据S&P 500看涨期权的金融数据,利用一步预测法对期权定价做预测.通过其自主的学习机制以及大量的样本训练网络,提高了判断精度,使得对期权的估测更加准确.并运用Matlab的神经网络函数和数学分析的知识对期权定价进行模拟预测,预测价格的结果与市场的真实价格较为接近.

Using the BP neural network and one-step prediction method, the option pricing is predicted according to S＆P 500 call options on financial data. Its self learning mechanism and a large number of samples are used to train the network ,which can improve the accuracy of judgment and make more accurate estimation of the option. The neural network function of Matlab and the knowledge of mathematical analysis are used to simulate and predict for the option＇ s price. The result of price prediction is much closer to the real market price.