Accelerated American option pricing with deep neural networks

Accelerated American option pricing with deep neural networks

Given the competitiveness of a market-making environment, the ability to speedily quote option prices consistent with an ever-changing market environment is essential. Thus, the smallest acceleration or improvement over traditional pricing methods is crucial to avoid arbitrage. We propose a method f...

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Bibliographic Details
Main Authors: David Anderson, Urban Ulrych
Format: Article
Language:English
Published: AIMS Press 2023-05-01
Series:Quantitative Finance and Economics
Subjects:
american option pricing
deep neural networks
explainable artificial intelligence
parametric option pricing
speed-accuracy trade-off
market making
Online Access:https://www.aimspress.com/article/doi/10.3934/QFE.2023011?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/QFE.2023011?viewType=HTML

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