On eight years of Apple options data, the Informer transformer reports lower pricing error and higher trading-rule net value than LSTM, Black-Scholes, and Heston baselines.
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Applying Informer for Option Pricing: A Transformer-Based Approach
On eight years of Apple options data, the Informer transformer reports lower pricing error and higher trading-rule net value than LSTM, Black-Scholes, and Heston baselines.