The Heston pricing model is in the /monte_carlo_class.py fileand the notebook /monte_carlo_data_creation.ipynb contains the code used to create and save the dataset.
The full dataset was created by using Latin Hypercube Sampling to generate the Heston model inputs, then these inputs were passed to the Black-Scholes model to get the call and put prices. The dataset used to train ANN-4 is created in the /Heston_data_generation directory. The complete dataset is too large to upload, however the out-of-sample dataset used for testing was uploaded in /out_of_sample_bs_data.csv. The Black-Scholes pricing model is in the /option_pricing_formulas.py file and the notebook /black_scholes_data_creation.ipynb contains the code used to create and save the dataset. The full dataset was created by using Latin Hypercube Sampling to generate the Black-Scholes inputs, then these inputs were passed to the Black-Scholes model to get the call and put prices. The dataset used to train ANN-1, ANN-2 and ANN-3 is created in the /BS_data_generation directory.
/ANN-1 contains the Keras model for ANN-1./ANN_1_initialisation.ipynb shows the training of the optimal model./ANN_1_Investigation.ipynb shows the hyperparameter tuning process.'/ANN-1' contains files relating to the creation of ANN-1: /bs_data.csv is missing because of the file size./out_of_sample_bs_data.csv contains the out-of-sample Black-Scholes dataset used for testing./black_scholes_data_creation.ipynb shows the LHS sampling and creation of a 1,000,000 sample dataset./option_pricing_formulas.py contains the Black-Scholes model.'/BS_data_generation' contains files relating to the creation of the Black-Scholes dataset: The Black-Scholes model and the Heston model under the Monte Carlo solving method.ĪNN-1 is an ANN which predicts call and put option prices under the Black-Scholes model.ĪNN-2 is an ANN which predicts call option prices under the Black-Scholes model.ĪNN-3 is an ANN which predicts put option prices under the Black-Scholes model.ĪNN-4 is an ANN which predicts call and put option prices under the Heston Monte Carlo model. This repository contains the source code for my research paper titled 'Neural Network Models for Pricing Call and Put Options Simultaneously', where I investigate the ability of ANNs to approximate call and put option prices/valuations under two classical option pricing models. Web application for option pricing via my models.Pricing_options_with_ANNs Table of Contents