A differential neural network learns stochastic differential equations and the Black-Scholes equation for pricing multi-asset options.
Sang-Mun ChiPublished in: CoRR (2020)
Keyphrases
- option pricing
- black scholes
- neural network
- financial markets
- black scholes model
- stochastic differential equations
- fractional brownian motion
- stock price
- numerical methods
- convertible bonds
- decision analysis
- brownian motion
- differential equations
- real option
- fuzzy logic
- fuzzy numbers
- maximum a posteriori estimation
- historical data
- long term
- objective function