Meshless methods for American option pricing through physics-informed neural networks

DOI10.1016/J.ENGANABOUND.2023.02.040zbMATH Open1521.91386OpenAlexW4323356871MaRDI QIDQ6158655FDOQ6158655

Authors: Federico Gatta, Vincenzo Schiano Di Cola, Fabio Giampaolo, Francesco Piccialli, Salvatore Cuomo 

Publication date: 20 June 2023

Published in: Engineering Analysis with Boundary Elements (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.enganabound.2023.02.040

zbMATH Keywords

deep learningfinanceBlack-Scholesfree boundary problemparametric modelPINN

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Artificial neural networks and deep learning (68T07) Numerical methods (including Monte Carlo methods) (91G60) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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Cited In (1)

• Option pricing in the Heston model with physics inspired neural networks

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