Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models (Q2238770)
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English | Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models |
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Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models (English)
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2 November 2021
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The authors study the expression rates of deep neural networks for option prices written on baskets of \(d\) risky assets whose log-returns are modelled by a multivariate Lévy process with general correlation structure of jumps. They establish sufficient conditions on the characteristic triplet of the Lévy process that ensure \(\varepsilon\)-error of option prices with deep neural networks of size that grows polynomially with respect to \(\mathcal{O}(\varepsilon^{-1})\), and with constants implied in \(\mathcal{O}(\cdot)\) which grow polynomially in \(d\), thereby overcoming the curse of dimensionality and justifying the use of deep neural networks in financial modelling of large baskets in markets with jumps.
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deep neural network
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Lévy process
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option pricing
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expression rate
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curse of dimensionality
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Rademacher complexity
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Barron space
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