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Seyed Nourollah Mousavi

Seyed Nourollah Mousavi

Academic rank: Assistant Professor
ORCID: https://orcid.org/0000-0002-9208-1308
Education: PhD.
ScopusId: 57206348684
Faculty: Science
Address: Arak University
Phone:

Research

Title
ASIAN RAINBOW OPTION PRICING AND DEEP LEARNING
Type
Presentation
Keywords
Asian rainbow option, deep learning, Monte Carlo simulation
Year
2023
Researchers Seyed Nourollah Mousavi ، Ali Bolfakeh

Abstract

This paper discusses the problem of pricing Asian rainbow options in financial fields and risk management. Traditional numerical methods and Monte Carlo simulation methods are often used but involve costly repetitive computations and unrealistic assumptions about the model. Deep learning offers an effective and efficient alternative for options pricing. This paper utilizes Monte Carlo simulation to generate data on Asian rainbow option prices for the deep learning model. The results demonstrate that the deep learning model can accurately price rainbow options.