/Gated_Neural_Network_OptionPricing

Gated Neural Network for Option Pricing implementation version Keras

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Gated Neural Network(GNN) Option pricing

  • Gated Neural Network for Option Pricing implementation version Keras
  • I referenced the code on this site.(https://github.com/sapphire21/NN-Option-Pricing)
  • Since the referenced code is the keras 1.xx version, I converted it to a code that works with the keras 2.xx version.
  • I confirmed that it runs normally from start to finish.
  • Verified with S&P 500, hangseng, eurostoxx50 call option data.