Option Pricing Based on GA-BP neural network

Abstract

Machine Learning has received widespread attention in the financial field, especially in the issue of option pricing. Compared with the original BSM (Black-Scholes-Merton) option pricing method, this paper introduces the genetic algorithm into the option pricing process based on the characteristics of financial data, and constructs a GA-BP neural network (Neural Networks) option pricing Model and empirical analysis of European call options based on the Shanghai and Shenzhen 300 Index. The research results show that the option price calculation result of the GA-BP neural network algorithm has better accuracy than the BP neural network model or the classic BSM method, while taking into account efficiency, which is helpful to predicting option prices in financial practice to a certain extent.