Option pricing and local volatility surface by physics-informed neural network
Hyeong-Ohk Bae, Seunggu Kang, Muhyun Lee
| Year of publication: |
2024
|
|---|---|
| Authors: | Bae, Hyeong-Ohk ; Kang, Seunggu ; Lee, Muhyun |
| Subject: | Artificial neural network | Black-Scholes equation (BSE) | Constant elasticity of variance (CEV) | Option pricing, Local volatility | Physics-informed neural network (PINN) | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Neuronale Netze | Neural networks | Black-Scholes-Modell | Black-Scholes model | Index-Futures | Index futures | Optionsgeschäft | Option trading | Derivat | Derivative |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-024-10551-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015144116