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Option pricing in the Heston model with physics inspired neural networks · Study

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ArticleOption pricing in the Heston model with physics inspired neural networks

Donatien Hainaut2024

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Articlegreen2024

Option pricing in the Heston model with physics inspired neural networks

Donatien Hainaut · Alex Casas

21 citations·0/0 files stored·Annals of Finance

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Stochastic processes and financial applications Stock Market Forecasting Methods Model Reduction and Neural Networks

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References

1999Option valuation using the fast Fourier transform 1998Brownian Motion and Stochastic Calculus 1976Stochastic Differential Equations and Applications 2019Deep hedging 2019Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations 2016A neural network approach to efficient valuation of large portfolios of variable annuities 2023Meshless methods for American option pricing through Physics-Informed Neural Networks 2019Fair valuation of insurance liability cash-flow streams in continuous time: Theory

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Year2024

Typearticle

Published2024-08-26

VenueAnnals of Finance

ISSN-L1614-2446

Languageen

Citations21

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s10436-024-00452-7

openalex_workW4392886680

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