277 citations · 1.7k across the 70 of their papers we have counts for
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q-fin.CP2019★ 14 cited
Incorporating prior financial domain knowledge into neural networks for implied volatility surface prediction
Yu Zheng, Yongxin Yang, Bowei Chen
In this paper we develop a novel neural network model for predicting implied volatility surface. Prior financial domain knowledge is taken into account. A new activation function t…
q-fin.CP2016★ 12 cited
Gated Neural Networks for Option Pricing: Rationality by Design
Yongxin Yang, Yu Zheng, Timothy M. Hospedales
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 economi…