Pricing of Derivative Securities Using Artificial Neural Network

파생 금융 상품의 가격 결정을 위한 인공 신경망 기법의 이용

  • 조희연 (울산대학교 경영대학 경영학부) ;
  • 양진설 (삼성생명주식회사 정보기획팀장)
  • Published : 1997.06.01


파생금융상품이란 주식이나 채권과 같은 기준자산에 대해서 발행되는 2차 금융상품으로써 기존의 재무이론에서는 수리적 모형에 기반을 둔 가격결정모형을 이용하여 가치를 평가하였다. 그러나 이러한 전통적인 가격결정모형은 복잡한 현실세계를 단순화시키기 위한 제반 가정을 요구하기 때문에 이러한 가정이 현실에 부적합한 경우에는 모형가격이 실제가격으로부터 커다란 괴리를 갖게 된다. 본 연구에서는 전통적인 가격결정방법의 단점을 극복할 수 있는 자료 의존적인 인공신경망기법을 제시하고 대표적인 파생금융상품인 국내 전환사채의 가격결정에 적용해 봄으로써 그 가능성을 제시하였다. 인공신경망기법을 전환사채의 가격결정에 적용한 결과 전통적 가격결정방법에 비해 평균절대오차를 70%정도 줄일 수 있다.



  1. Numerical methods for Partial Differencial Equations W.F. Ames
  2. Journal of Political Economy v.81 The Pricing of Options and Corporate Liabilities F. Black;M. Scholes
  3. Journal of Banking and Finance v.3 A Continuous Time Approach to the Pricing of Bonds M.J. Brennan;E. S. Schwartz.
  4. Journal of Financial and Quantitative Analysis v.13 Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis M.J. Brennan
  5. Journal of Financial and Quantitative Analysis v.15 Analysing Convertible Bonds M.J. Brennan
  6. IEEE Control Systems Magazine v.10 no.3 Back-propagation neural networks for nonlinear self-tuning adaptive control F.C. Chen
  7. Proceedings of the International Joint Conference on Neural Networks v.Ⅱ A connectionist network for color selection J.R. Chen;R.K. Belew;G.B. Salomon
  8. Journal of Financial and Quantitative Analysis v.17 A More Accurate Finite Difference Approximation for the Value of Options G. Courtadon
  9. Journal of Financial Economics v.7 Option Pricing: A Simplified Approach J.C. Cox;S.A. Ross;M. Rubinstein
  10. Proceedings ICNN-88 v.Ⅱ A learning architecture for control based on back-propagation neural networks R.K. Elsley
  11. Proceedings of IJCNN-90 v.Ⅱ Nonlinear dynamic systme identification using artificial neural networks B. Fernandez;A.G. Parlos;W.K. Tsai
  12. Proceedings of the International Conference Connectionism in Perspective A correlative view on backpropagation A. Linden;J. Kindermann
  13. IEEE ASSP Magazine v.3 no.4 An introduction to computing with neural nets R.P. Lippman
  14. Bell Journal of Economics and Management Science v.4 The Theory of Rational Option Pricing R. Morton
  15. Journal of Finance v.41 LYON Taming J.J. Mcconnell;E.S. Schwartz
  16. IEEE Trans. on Neural Networks v.1 no.1 Identification and control of dynamical systems using neural networks K.S. Narendra;K. Parthasarathy
  17. IEEE Control Systems Magazine v.10 no.3 Neural networks for self-learning control systems D.H. Nguyen;B. Widrow
  18. Neurocomputing v.2 no.2 Nonlinear process control with neural nets Y.H. Pao;D.J. Sobajic
  19. Adaptive Pattern Recognition and Neural Networks Y.H. Pao
  20. IEEE Control Systems Magazine v.8 no.2 A multilayered neural network controller D. Psaltis;A. Sideris;A.A. Yamamura
  21. Parallel Distributed Processing: Exploration in the Microstructure of Cognition v.Ⅰ Learning internal representation by error propagation D.E. Rumelhart(ed.);G.E. Hinton;R.J. Williams;J.L. McClelland(ed.)
  22. Journal of Financial Economics v.10 Options on the Minimum or the Maximum of Two Risky Assets: Analysis and Applications R.M. Stulz