This project is a continuation of the IRisk Lab project, European-type basket option pricing: independence and comonotonicity approximations with modern machine learning approaches, in Fall 2019. Feedforward neural network (FNN) has been employed in the previous project to revisit the basket option pricing proposed in [1]. This project aims to further improve and investigate modern machine learning approaches on the basket option pricing, such as comparison of FNN with Gaussian process regression (GPR) and their error convergences.

References:

[1] Hanbali, H. and Linders, D. (2019). American-type basket option pricing: a simple two-dimensional partial differential equation, Quantitative Finance 19, 1689-1704.

Students: Jonathan Lu, Kara Wong

Supervisor: Alfred Chong, Daniël Linders