Applying Informer for Option Pricing: A Transformer-Based Approach

Abstract

Accurate option pricing is essential for effective trading and risk management in financial markets, yet it remains challenging due to market volatility and the limitations of traditional models like Black-Scholes. In this paper, we investigate the application of the Informer neural network for option pricing, leveraging its ability to capture long-term dependencies and dynamically adjust to market fluctuations. This research contributes to the field of financial forecasting by introducing Informer's efficient architecture to enhance prediction accuracy and provide a more adaptable and resilient framework compared to existing methods. Our results demonstrate that Informer outperforms traditional approaches in option pricing, advancing the capabilities of data-driven financial forecasting in this domain.

8 pages, 3 tables, 7 figures. Accepted at the 17th International Conference on Agents and Artificial Intelligence (ICAART 2025). Final version published in Proceedings of ICAART 2025 (Vol. 3), pages 1270-1277