Inspiration
We were interested in learning more about training a neural network and the Black-Scholes model. As well as the opportunity to get a chance to work at Riskfuel!
What it does
A trained deep neural network to approximate the analytic Black-Scholes price of a European Put option.
How we built it
We built it by getting a randomized dataset from the Black-Scholes Model equation and using PCA to figure out the most important variables. Then we created a deep neural network in Python and trained it.
Challenges we ran into
We had issues creating a deep neural network and figuring out what is the best way to get the data.
Accomplishments that we're proud of
We were proud of being able to successfully train a neural network.
What we learned
We learned about how to obtain a dataset and train a deep neural network.
What's next for Statistically-Informed Training for Predicting European Puts
Improve the loss on the model
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