英文标题：
《Gated Neural Networks for Option Pricing: Rationality by Design》
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作者：
Yongxin Yang, Yu Zheng, Timothy M. Hospedales
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最新提交年份：
2020
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英文摘要：
We propose a neural network approach to price EU call options that significantly outperforms some existing pricing models and comes with guarantees that its predictions are economically reasonable. To achieve this, we introduce a class of gated neural networks that automatically learn to divide-and-conquer the problem space for robust and accurate pricing. We then derive instantiations of these networks that are \'rational by design\' in terms of naturally encoding a valid call option surface that enforces no arbitrage principles. This integration of human insight within data-driven learning provides significantly better generalisation in pricing performance due to the encoded inductive bias in the learning, guarantees sanity in the model\'s predictions, and provides econometrically useful byproduct such as risk neutral density.
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中文摘要：
我们提出了一种为欧盟看涨期权定价的神经网络方法，该方法显著优于一些现有的定价模型，并保证其预测在经济上是合理的。为了实现这一点，我们引入了一类门控神经网络，它可以自动学习如何划分和克服问题空间，从而实现稳健而准确的定价。然后，我们推导出这些网络的实例，这些网络是“设计合理的”，自然地编码有效的看涨期权曲面，强制执行无套利原则。由于学习中的编码归纳偏差，这种将人类洞察力与数据驱动学习相结合的方式在定价绩效方面提供了更好的概括，保证了模型预测的合理性，并提供了经济上有用的副产品，如风险中性密度。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Computer Science 计算机科学
二级分类：Machine Learning 机器学习
分类描述：Papers on all aspects of machine learning research (supervised, unsupervised, reinforcement learning, bandit problems, and so on) including also robustness, explanation, fairness, and methodology. cs.LG is also an appropriate primary category for applications of machine learning methods.
关于机器学习研究的所有方面的论文（有监督的，无监督的，强化学习，强盗问题，等等），包括健壮性，解释性，公平性和方法论。对于机器学习方法的应用，CS.LG也是一个合适的主要类别。
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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