crossrefMathematics2025-02-13Cited by 1
Deep Learning Artificial Neural Network for Pricing Multi-Asset European Options
Zhiqiang Zhou, Hongying Wu, Yuezhang Li, Caijuan Kang, You Wu
This paper studies a p-layers deep learning artificial neural network (DLANN) for European multi-asset options. Firstly, a p-layers DLANN is constructed with undetermined weights and bias. Secondly, according to the terminal values of the partial differential equation (PDE) and t…