Meshless methods for American option pricing through Physics-Informed Neural Networks

Author:

Gatta FedericoORCID,Di Cola Vincenzo Schiano,Giampaolo Fabio,Piccialli Francesco,Cuomo Salvatore

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics,General Engineering,Analysis

Reference52 articles.

1. The pricing of options and corporate liabilities;Black;J Polit Econ,1973

2. Pricing a multi-asset American option in a parallel environment by a finite element method approach;Kaya,2011

3. Multi-asset option pricing using an information-based model;Ikamari;Sci Afr,2020

4. Numerical models for differential problems, vol. 2;Quarteroni,2009

5. Physics-informed neural networks: A deep learning framework for solving forward and inverse problems involving nonlinear partial differential equations;Raissi;J Comput Phys,2019

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