Approximation of single-barrier options partial differential equations using feed-forward neural network
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Publication:6580765
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)
optimizationPDEartificial neural networkMonte-Carlo simulationbarrier optionsextended Black-Scholes modelvariable initialization
Cites Work
- DGM: a deep learning algorithm for solving partial differential equations
- Neural network method for solving partial differential equations
- Wellposedness of the boundary value formulation of a fixed strike Asian option
- Neural‐network‐based approximations for solving partial differential equations
- Solving parametric PDE problems with artificial neural networks
- On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
- An introduction to neural network methods for differential equations
- An integral equation approach for the valuation of American-style down-and-out calls with rebates
- A neural network-based framework for financial model calibration
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