Meshless methods for American option pricing through physics-informed neural networks
DOI10.1016/J.ENGANABOUND.2023.02.040zbMath1521.91386OpenAlexW4323356871MaRDI QIDQ6158655
Salvatore Cuomo, Federico Gatta, Francesco Piccialli, Vincenzo Schiano Di Cola, Fabio Giampaolo
Publication date: 20 June 2023
Published in: Engineering Analysis with Boundary Elements (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.enganabound.2023.02.040
Numerical methods (including Monte Carlo methods) (91G60) Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)
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