Machine learning methods for pricing financial derivatives

DOI10.1080/14697688.2026.2623901MaRDI QIDQ7313640zbMATH OpenFDO

Authors Lei Fan, Justin A. Sirignano

Publication date 13 August 2026

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2026.2623901

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Applications of stochastic analysis (to PDEs, etc.) (60H30) Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A jump-diffusion model for option pricing
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Option pricing when underlying stock returns are discontinuous
• Option pricing with stochastic volatility models.
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• Stock price distributions with stochastic volatility: an analytic approach
• The pricing of options and corporate liabilities

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