Example of Random Forest application in Finance : Option Pricing

阿新 • • 發佈：2018-12-29

Let's assume we know how much Tesla share costs in 2W. In other terms, if you are in two weeks time (i.e. in the future), what's the expected value of your portfolio, made of this one american option. You have information at 2W and you want to predict the option value at 1M. Beforehand, we need to simulate multiple scenarios for Tesla share price. For model simplicity, we suppose Tesla Share follows a Geometric Brownian motion path with mean r (risk free rate) and volatility Sigma 20% (we refer interested readers to Stochastic processes theory). NB: 1 month time is equivalent to about 0.08 year time.

Example of Random Forest application in Finance : Option Pricing

Let's assume we know how much Tesla share costs in 2W. In other terms, if you are in two weeks time (i.e. in the future), what's the expected value of your

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