A market resilient data-driven approach to option pricing

Anindya Goswami; Nimit Rana

doi:10.48550/arXiv.2409.08205

A market resilient data-driven approach to option pricing

Anindya Goswami, Nimit Rana

Mathematics

Research output: Working paper › Preprint

Abstract

In this paper, we present a data-driven ensemble approach for option price prediction whose derivation is based on the no-arbitrage theory of option pricing. Using the theoretical treatment, we derive a common representation space for achieving domain adaptation. The success of an implementation of this idea is shown using some real data. Then we report several experimental results for critically examining the performance of the derived pricing models.

Original language	English
Publisher	arXiv
DOIs	https://doi.org/10.48550/arXiv.2409.08205
Publication status	Published - 12 Sept 2024

Bibliographical note

24 pages

Keywords

q-fin.MF

Access to Document

10.48550/arXiv.2409.08205

2409.08205v1

Cite this

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