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

DOI10.1002/asmb.2711MaRDI QIDQ6580765

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

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

Mathematics Subject Classification ID

Statistics (62-XX)

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