Option pricing with deep learning: a long short-term memory approach

DOI10.1007/S10203-025-00518-9MaRDI QIDQ7320693zbMATH OpenFDO

Authors Rita Pimentel, Sondre Rogde, Sjur Westgaard

Publication date 27 August 2026

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10203-025-00518-9

Mathematics Subject Classification ID

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

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
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• Exploiting the errors: a simple approach for improved volatility forecasting
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• Multilayer feedforward networks are universal approximators
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach
• Pricing and hedging derivative securities with neural networks and a homogeneity hint
• Pricing and trading European options by combining artificial neural networks and parametric models with implied parameters
• The pricing of options and corporate liabilities
• Visualizing the Effects of Predictor Variables in Black Box Supervised Learning Models

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