基于T-S模糊神经网络模型求解Black-Scholes方程  

Solution of the Black-Scholes Equation Using T-S Fuzzy Neural Network Model

作　　者：袁亚蕊 李战辉 YUAN Yarui;LI Zhanhui(Chengyi College, Jimei University, Xiamen, Fujian 361021, China;Alibaba Network Technology Co. LTD, Hangzhou, Zhejiang 310000, China)

机构地区：[1]集美大学诚毅学院,福建厦门361021 [2]阿里巴巴网络技术有限公司,浙江杭州310000

出　　处：《闽江学院学报》2021年第2期13-17,共5页Journal of Minjiang University

摘　　要：Black-Scholes方程可以对期权进行定价,但方程的求解一直是难点问题。基于此提出了采用T-S模糊神经网络模型求解Black-Scholes方程的方法,利用欧式看涨期权定价公式生成训练样本数据,定义误差函数,并给出了T-S模糊神经网络模型求解方程的框架。数值实例结果验证了该方法的有效性。Black-Scholes equation can be used to price options,but finding the solution of the equation is always a difficult problem.We propose a T-S fuzzy neural network model to solve the Black-Scholes equation.We use the Euclian call option pricing formula to generate the training sample data,define the error function,and give the T-S fuzzy neural network model to solve the equation.The results of numerical examples demonstrate the effectiveness of the proposed method.

关 键 词：期权定价 BLACK-SCHOLES方程 T-S模糊神经网络 

分 类 号：O241[理学—计算数学]