Lookback option pricing under the double Heston model using a deep learning algorithm

DOI10.1007/S40314-022-02098-5MaRDI QIDQ2099529zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 24 November 2022

Published in Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s40314-022-02098-5

zbMATH Keywords

deep Galerkin methoddouble Heston PDElookback option pricingMonte Carlo simulation

Mathematics Subject Classification ID

Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A finite element approach to the pricing of discrete lookbacks with stochastic volatility
• A modification of Galerkin's method for option pricing
• A NEW METHOD OF PRICING LOOKBACK OPTIONS
• An analytic pricing formula for lookback options under stochastic volatility
• Computational methods for quantitative finance. Finite element methods for derivative pricing
• Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
• DGM: a deep learning algorithm for solving partial differential equations
• Lookback options and dynamic fund protection under multiscale stochastic volatility
• Neural algorithm for solving differential equations
• Numerical solution for high order differential equations using a hybrid neural network-optimization method
• On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option
• Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
• Physics-constrained deep learning for high-dimensional surrogate modeling and uncertainty quantification without labeled data
• Physics-informed neural networks: a deep learning framework for solving forward and inverse problems involving nonlinear partial differential equations
• Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model
• Solving high-dimensional partial differential equations using deep learning
• Stochastic calculus for finance. II: Continuous-time models.
• The deep Ritz method: a deep learning-based numerical algorithm for solving variational problems
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• Weak adversarial networks for high-dimensional partial differential equations

Cited in

(2)

• On pricing of discrete Asian and Lookback options under the Heston model
• Option pricing in the Heston model with physics inspired neural networks

Describes a project that uses

Uses Software

• DGM

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