Option pricing in the Heston model with physics inspired neural networks
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Cites work
- A neural network approach to efficient valuation of large portfolios of variable annuities
- Continuous time processes for finance. Switching, self-exciting, fractional and other recent dynamics
- Deep hedging
- Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
- DGM: a deep learning algorithm for solving partial differential equations
- Effective statistical learning methods for actuaries I. GLMs and extensions
- Extensions of the deep Galerkin method
- Fair valuation of insurance liability cash-flow streams in continuous time: theory
- scientific article; zbMATH DE number 3505981 (Why is no real title available?)
- scientific article; zbMATH DE number 3233089 (Why is no real title available?)
- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
- Meshless methods for American option pricing through physics-informed neural networks
- Neural algorithm for solving differential equations
- Neural network approximation for superhedging prices
- NSFnets (Navier-Stokes flow nets): physics-informed neural networks for the incompressible Navier-Stokes equations
- Physics-informed neural networks for high-speed flows
- Physics-informed neural networks: a deep learning framework for solving forward and inverse problems involving nonlinear partial differential equations
- Pricing equity-linked life insurance contracts with multiple risk factors by neural networks
- Scientific machine learning through physics-informed neural networks: where we are and what's next
- Solving the quantum many-body problem with artificial neural networks
- The deep parametric PDE method and applications to option pricing
Cited in
(6)- Solving American option optimal control problems in financial markets using a novel neural network
- Neural network empowered liquidity pricing in a two-price economy under conic finance settings
- Variable time step operator splitting methods with stability and error estimates for pricing American options
- Physics-informed neural network for option pricing weather derivatives model
- Optimal control by policy iterations and constrained Gaussian process regressions
- American option pricing with model constrained Gaussian process regressions
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