Solving American option optimal control problems in financial markets using a novel neural network

DOI10.3934/JIMO.2024071MaRDI QIDQ6593226

Kit Yan Chan, Jiao Teng, Ka-Fai Cedric Yiu

Publication date: 26 August 2024

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

zbMATH Keywords

neural networkslinear complementarity problemoptimal control problemAmerican optionpartial differential equation solver

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Artificial neural networks and deep learning (68T07) Numerical methods based on nonlinear programming (49M37) Financial applications of other theories (91G80)

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