Option pricing for Barndorff–Nielsen and Shephard model by supervised deep learning

This paper aims to develop a supervised deep learning scheme to compute call option prices for the Barndorff-Nielsen and Shephard model with a non-martingale asset price process having infinite active jumps. In our deep learning scheme, teaching data are generated through the Monte Carlo method developed by Arai and Imai (2024). Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure, Mathematics and Computers in Simulation, 218, 223–234. Moreover, the BNS model includes many parameters, which makes the deep learning accuracy worse. Therefore, we will create another input parameter using the Black–Scholes formula. As a result, the accuracy is improved dramatically.