# Deeply Learning Derivatives

@article{Ferguson2018DeeplyLD, title={Deeply Learning Derivatives}, author={Ryan Ferguson and Andrew Green}, journal={CompSciRN: Artificial Intelligence (Topic)}, year={2018} }

This paper uses deep learning to value derivatives. The approach is broadly applicable, and we use a call option on a basket of stocks as an example. We show that the deep learning model is accurate and very fast, capable of producing valuations a million times faster than traditional models. We develop a methodology to randomly generate appropriate training data and explore the impact of several parameters including layer width and depth, training data quality and quantity on model speed and… Expand

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