Neural networks for option pricing and hedging: a literature review

13 November 2019

Papers citing "Neural networks for option pricing and hedging: a literature review"

18 / 18 papers shown

Title
Deep Learning vs. Black-Scholes: Option Pricing Performance on Brazilian Petrobras Stocks Joao Felipe Gueiros Hemanth Chandravamsi Steven H. Frankel 23 0 0 25 Apr 2025
Experimental Analysis of Deep Hedging Using Artificial Market Simulations for Underlying Asset Simulators Masanori Hirano 33 0 0 15 Apr 2024
American Option Pricing using Self-Attention GRU and Shapley Value Interpretation Yanhui Shen 32 0 0 19 Oct 2023
Pricing European Options with Google AutoML, TensorFlow, and XGBoost J. Berger 11 0 0 02 Jul 2023
Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models Y. S. Kim H. Kim Jaehyung Choi 10 2 0 15 Mar 2023
Beyond Surrogate Modeling: Learning the Local Volatility Via Shape Constraints Marc Chataigner Areski Cousin Stéphane Crépey M. Dixon Djibril Gueye 19 8 0 20 Dec 2022
Deep neural network expressivity for optimal stopping problems Lukas Gonon 13 6 0 19 Oct 2022
Chaotic Hedging with Iterated Integrals and Neural Networks Ariel Neufeld Philipp Schmocker 33 10 0 21 Sep 2022
Solving the optimal stopping problem with reinforcement learning: an application in financial option exercise L. Felizardo E. Matsumoto E. Del-Moral-Hernandez 10 2 0 21 Jul 2022
Pricing options on flow forwards by neural networks in Hilbert space F. Benth Nils Detering Luca Galimberti 19 7 0 17 Feb 2022
A Quantum Generative Adversarial Network for distributions Amine Assouel A. Jacquier A. Kondratyev GNN GAN OOD 45 17 0 04 Oct 2021
Backdoor Attack and Defense for Deep Regression Xi Li G. Kesidis David J. Miller V. Lucic AAML 11 6 0 06 Sep 2021
Random feature neural networks learn Black-Scholes type PDEs without curse of dimensionality Lukas Gonon 18 35 0 14 Jun 2021
Advances in Electron Microscopy with Deep Learning Jeffrey M. Ede 32 2 0 04 Jan 2021
KrigHedge: Gaussian Process Surrogates for Delta Hedging M. Ludkovski Yuri F. Saporito 35 5 0 16 Oct 2020
Review: Deep Learning in Electron Microscopy Jeffrey M. Ede 31 79 0 17 Sep 2020
Robust pricing and hedging via neural SDEs Patryk Gierjatowicz Marc Sabate Vidales David Siska Lukasz Szpruch Zan Zuric 14 34 0 08 Jul 2020
On Calibration Neural Networks for extracting implied information from American options Shuaiqiang Liu Álvaro Leitao Anastasia Borovykh C. Oosterlee 11 3 0 31 Jan 2020