Data driven neural network approaches for pricing options

DOI10.1016/J.PHYSD.2025.134992MaRDI QIDQ6832325zbMATH OpenFDO

Authors Samuel M. Nuugulu, Kailash C. Patidar, Divine T. Tarla

Publication date 2 April 2026

Published in Physica D (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.PHYSD.2025.134992

zbMATH Keywords

Heston stochastic volatility modelimplied volatilityneural networksoption pricingPINNpurely data driven approach

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• A robust numerical solution to a time-fractional Black-Scholes equation
• Analysis in Banach Spaces
• Analysis of the nonlinear option pricing model under variable transaction costs
• Neural networks and deep learning. A textbook
• Numerical Optimization
• On the approximation of functions by tanh neural networks
• On the convergence of physics informed neural networks for linear second-order elliptic and parabolic type PDEs
• Physics-informed neural networks: a deep learning framework for solving forward and inverse problems involving nonlinear partial differential equations
• The Caratheodory Extension Theorem for Vector Valued Measures
• The Mathematics of Financial Derivatives

Cited in

(1)

• Physics-informed neural network approach to time-fractional Black-Scholes models: pricing down-and-in parisian options under rough volatility

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