- Gated Neural Network for Option Pricing implementation version Keras
- I referenced the code on this site.(
https://github.com/sapphire21/NN-Option-Pricing) - Since the referenced code is the keras 1.xx version, I converted it to a code that works with the keras 2.xx version.
- I confirmed that it runs normally from start to finish.
- Verified with S&P 500, hangseng, eurostoxx50 call option data.