Heston-GA Hybrid Option Pricing Model Based on ResNet50

Table 4

Comparison of prediction errors of different models for different ETF options.

Model	Error measure
	MSE (E)	MAPE	MAE
(a) 510300
BSM	7.2966–4	0.4240	0.0219
ResNet50	5.1112–3	0.7137	0.0487
Heston-CIR	4.3061–4	0.2601	0.0155
Non-affine Heston	6.9010–4	0.3135	0.0200
Heston-GA	7.7971–4	0.3581	0.0222
Heston-GA-BP	4.8228–4	0.3478	0.0167
Heston-GA-ResNet50	6.2385–4	0.3110	0.0194
(b) 159919
BSM	8.5637–4	0.4131	0.0240
ResNet50	5.5807–3	0.9124	0.0525
Heston-CIR	1.5082–4	0.2069	0.0089
Non-affine Heston	4.0113–4	0.2708	0.0160
Heston-GA	9.3303–4	0.4452	0.0251
Heston-GA-BP	5.8388–4	0.5907	0.0197
Heston-GA-ResNet50	5.5141–4	0.3050	0.0187
(c) 510050
BSM	7.9299–4	0.4409	0.0231
ResNet50	1.8546–3	1.1366	0.0297
Heston-CIR	3.0460–4	0.3703	0.0143
Non-affine Heston	1.8652–4	0.2306	0.0106
Heston-GA	1.9828–4	0.1892	0.0095
Heston-GA-BP	2.0192–4	0.3287	0.0109
Heston-GA-ResNet50	1.5690–4	0.2407	0.0087