Research Article
Option Pricing Model Combining Ensemble Learning Methods and Network Learning Structure
Table 4
Pricing errors for 7 nonoverlapping periods.
| | Month | BS | Heston | DNN | XGBoost | LightGBM | Ours |
| | 1 | 2.812 | 2.391 | 0.200 | 0.123 | 0.123 | 0.110 | | 2 | 2.570 | 2.191 | 0.328 | 0.149 | 0.125 | 0.124 | | 3 | 2.617 | 2.862 | 0.309 | 0.192 | 0.185 | 0.187 | | 4 | 2.686 | 2.167 | 0.318 | 0.162 | 0.168 | 0.160 | | 5 | 2.384 | 2.191 | 0.270 | 0.157 | 0.151 | 0.146 | | 6 | 2.527 | 2.680 | 0.321 | 0.155 | 0.155 | 0.149 | | 7 | 2.205 | 1.967 | 0.290 | 0.194 | 0.174 | 0.157 |
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