Data-Driven Neuro ARCH (DDNA) volatility model for Option Pricing on Cloud Resources
Bibliographic record
Abstract
Due to highly unpredictable nature of financial derivatives market such as options, profiting from these financial products has always been a challenge for investors. One of the sources of challenge is posed by accurate computation of volatility of the underlying assets (such as stocks) of an option. For this research we use the volatility forecast from Data-Driven Neuro ARCH (DDNA) volatility model [1] along with the Monte Carlo (MC) simulations to compute option prices. Since the MC method requires a large number of simulations for better precision, we implement the proposed model on two easily accessible cloud resources (Amazon's elastic map reduce (EMR) and Google's Cloud DataProc (GDP)) using the Hadoop MapReduce paradigm.We show that our model outperforms the existing option pricing models in terms of efficiency and accuracy.This proposed strategy could be used by investors for computing option prices precisely with relative ease, allowing them to value the numerous available option contracts for their investment decisions.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.006 | 0.045 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.002 | 0.001 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".