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

DOI10.1016/J.ENGANABOUND.2023.02.040MaRDI QIDQ6158655zbMATH OpenOpenAlexFDO

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)

Copyright license Creative Commons Attribution 4.0 International

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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