相关论文: Gated Neural Networks for Option Pricing: Rational…

Options have provided a field of much study because of the complexity involved in pricing them. The Black-Scholes equations were developed to price options but they are only valid for European styled options. There is added complexity when…

In incomplete financial markets, pricing and hedging European options lack a unique no-arbitrage solution due to unhedgeable risks. This paper introduces a constrained deep learning approach to determine option prices and hedging strategies…

We present here a regress later based Monte Carlo approach that uses neural networks for pricing high-dimensional contingent claims. The choice of specific architecture of the neural networks used in the proposed algorithm provides for…

We introduce a new class of neural networks designed to be convex functions of their inputs, leveraging the principle that any convex function can be represented as the supremum of the affine functions it dominates. These neural networks,…

In societal-scale infrastructures, such as electric grids or transportation networks, pricing mechanisms are often used as a way to shape users' demand in order to lower operating costs and improve reliability. Existing approaches to…

In this paper, we introduce two novel methods to solve the American-style option pricing problem and its dual form at the same time using neural networks. Without applying nested Monte Carlo, the first method uses a series of neural…

Recent work has shown that temporally extended actions (options) can be learned fully end-to-end as opposed to being specified in advance. While the problem of "how" to learn options is increasingly well understood, the question of "what"…

Artificial neural networks (ANNs) have recently also been applied to solve partial differential equations (PDEs). In this work, the classical problem of pricing European and American financial options, based on the corresponding PDE…

We consider the supervised learning problem of learning the price of an option or the implied volatility given appropriate input data (model parameters) and corresponding output data (option prices or implied volatilities). The majority of…

Neural networks have been used as a nonparametric method for option pricing and hedging since the early 1990s. Far over a hundred papers have been published on this topic. This note intends to provide a comprehensive review. Papers are…

We propose a new methodology for pricing options on flow forwards by applying infinite-dimensional neural networks. We recast the pricing problem as an optimization problem in a Hilbert space of real-valued function on the positive real…

We propose a Finance-Informed Neural Network (FINN) for option pricing and hedging that integrates financial theory directly into machine learning. Instead of training on observed option prices, FINN is learned through a self-supervised…

Recent progress in the development of efficient computational algorithms to price financial derivatives is summarized. A first algorithm is based on a path integral approach to option pricing, while a second algorithm makes use of a neural…

We introduce a novel and highly tractable supervised learning approach based on neural networks that can be applied for the computation of model-free price bounds of, potentially high-dimensional, financial derivatives and for the…

In this paper, we propose an alternative valuation approach for CAT bonds where a pricing formula is learned by deep neural networks. Once trained, these networks can be used to price CAT bonds as a function of inputs that reflect both the…

This paper presents the benefits of using randomized neural networks instead of standard basis functions or deep neural networks to approximate the solutions of optimal stopping problems. The key idea is to use neural networks, where the…

We introduce the value iteration network (VIN): a fully differentiable neural network with a `planning module' embedded within. VINs can learn to plan, and are suitable for predicting outcomes that involve planning-based reasoning, such as…

Graphical models are usually learned without regard to the cost of doing inference with them. As a result, even if a good model is learned, it may perform poorly at prediction, because it requires approximate inference. We propose an…

Neural networks with sufficiently smooth activation functions can approximate values and derivatives of any smooth function, and they are differentiable themselves. We improve the approximation capability of neural networks by utilizing the…

Traditional neural networks have an impressive classification performance, but what they learn cannot be inspected, verified or extracted. Neural Logic Networks on the other hand have an interpretable structure that enables them to learn a…