神经网路的敏感度分析.PDFVIP

Sensitivity Analysis and Neural Networks 1 神經網路的敏感度分析 Sensitivity Analysis and Neural Networks * ** * 蔡瑞煌 林修葳 林義評 Ray Tsaih, Hsiou-Wei Lin, Yi-ping Lin 摘要 本研究探討敏感度分析之技術是否能讀取神經網路所學得之知識，以及是否能用來評估神經網 路之學習績效 。本研究以選擇權定價公式 （Black-Scholes formula）之模擬為研究對象。本研究之實驗 結果顯示敏感度分析之技術能讀取神經網路所學得之知識，也能用來評估神經網路之學習績效。 關鍵詞：敏感度分析、神經網路、選擇權 Abstract This study presents the methodology of sensitivity analysis and explores whether it can be an alternative evaluation criterion as well as a tool to “read” artificial neural networks’ knowledge. The simulation of the Black-Scholes formula is employed for this object. Since, in the Black-Scholes formula, the mapping relationship between the call price and five relevant variables is a mathematically close form, it is feasible to verify the validity of the methodology of sensitivity analysis. The experiment results are promising; they show that both values of the sensitivity analysis and the partial derivative of the Black-Scholes formula are consistent. Furthermore, the sensitivity analysis can be an alternative criterion for comparing the effectiveness of ANNs. Keywords: Sensitivity analysis, Neural Networks, Options 1. Introduction and Literature Review Similar researches had been done, but they This study adopts artificial neural focused mainly on the performance comparison networks (ANN) to simulating the with some statistic models, and had no further Black-Scholes formula to price the call options. analysis of the ANNs. Here we present the * 國立政治大學資訊管理學系 Dept.