Quasi-reversibility method and neural network machine learning for forecasting of stock option prices

DOI10.1090/conm/784/15757OpenAlexW4365790277MaRDI QIDQ5890162

Unnamed Author, Unnamed Author, Kirill V. Golubnichiy

Publication date: 28 April 2023

Published in: Contemporary Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/conm/784/15757

zbMATH Keywords

neural networkregularization methodill-posed problemmachine learningBlack-Scholes equationparabolic equation with the reversed time

Mathematics Subject Classification ID

Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65Mxx)

Cites Work

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• Carleman weight functions for a globally convergent numerical method for ill-posed Cauchy problems for some quasilinear PDEs
• Stochastic calculus for finance. II: Continuous-time models.
• Carleman estimates for the regularization of ill-posed Cauchy problems
• An ill-posed problem for the Black–Scholes equation for a profitable forecast of prices of stock options on real market data
• Convergent numerical methods for parabolic equations with reversed time via a new Carleman estimate
• Forecasting stock options prices via the solution of an ill-posed problem for the Black–Scholes equation
• Arbitrage Theory in Continuous Time

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