GAN-MC: a Variance Reduction Tool for Derivatives Pricing

We propose a parameter-free model for estimating the price or valuation of financial derivatives like options, forwards and futures using non-supervised learning networks and Monte Carlo. Although some arbitrage-based pricing formula performs greatly on derivatives pricing like Black-Scholes on option pricing, generative model-based Monte Carlo estimation(GAN-MC) will be more accurate and holds more generalizability when lack of training samples on derivatives, underlying asset's price dynamics ...