Beschreibung:
Option is an important financial derivative. Accurate option pricing is essential to the development of the financial market. For option pricing, existing time series models and neural networks are difficult to extract multi-scale temporal features from option data, which greatly limits their performance. To solve this problem, here we propose a novel deep learning model named as MRC-LSTM-CI. It contains three modules, including multi-scale residual module (MRC), Long Short-Term Memory neural network module (LSTM) and confidence interval output module (CI). The proposed model can effectively extract multi-scale information from real market option data, and make interval prediction to provide more information to the decision maker. In addition, the proposed model is further improved using the residual prediction strategy, where the output value is chosen as the residual value between BS theory price and market option price. Experimental results show that the proposed model has better prediction accuracy than other deep learning models and achieves the state-of-the-art performance