An unsupervised deep learning approach to solving partial integro-differential equations

نویسندگان

چکیده

We investigate solving partial integro-differential equations (PIDEs) using unsupervised deep learning. The PIDE is employed for option pricing, when the underlying process a Lévy with jumps. learning approach employs neural network as candidate solution and trains to satisfy PIDE. By matching boundary conditions, would yield an accurate Unlike supervised learning, this does not require any labels training, where are typically prices well Greeks. Additional singular terms added non-smooth initial conditions. Once trained, be fast calculating

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ژورنال

عنوان ژورنال: Quantitative Finance

سال: 2022

ISSN: ['1469-7696', '1469-7688']

DOI: https://doi.org/10.1080/14697688.2022.2057870