Option Pricing Model Combining Ensemble Learning Methods and Network Learning Structure

Table 1

Pricing error (RMSE) for 3 different models.

	M1	M2	M3
Input	,	, ,	, , ,
Output
BS	2.808	2.808	2.808
Heston	2.831	2.831	2.831
DNN	0.027	0.028	0.030
XGBoost	0.033	0.024	0.027
LightGBM	0.026	0.025	0.025
Ours	0.022	0.023	0.016