Approximation of single-barrier options partial differential equations using feed-forward neural network

DOI10.1002/ASMB.2711MaRDI QIDQ6580765FDOQ6580765

Authors Nneka Umeorah, Jules Clement Mba 

Publication date 29 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

optimizationPDEartificial neural networkMonte-Carlo simulationbarrier optionsextended Black-Scholes modelvariable initialization

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A neural network-based framework for financial model calibration
• An integral equation approach for the valuation of American-style down-and-out calls with rebates
• An introduction to neural network methods for differential equations
• DGM: a deep learning algorithm for solving partial differential equations
• Neural network method for solving partial differential equations
• Neural‐network‐based approximations for solving partial differential equations
• On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
• Solving parametric PDE problems with artificial neural networks
• Wellposedness of the boundary value formulation of a fixed strike Asian option

This page was built for publication: Approximation of single-barrier options partial differential equations using feed-forward neural network

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6580765)