An unsupervised deep learning approach in solving partial integro-differential equations
| Autor: | Weilong Fu, Ali Hirsa |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
Computer Science::Machine Learning
Computational Engineering Finance and Science (cs.CE) FOS: Economics and business FOS: Computer and information sciences Quantitative Finance - Computational Finance ComputingMethodologies_PATTERNRECOGNITION Computer Science::Mathematical Software Computational Finance (q-fin.CP) Computer Science - Computational Engineering Finance and Science General Economics Econometrics and Finance Finance |
| DOI: | 10.48550/arxiv.2006.15012 |
| Popis: | We investigate solving partial integro-differential equations (PIDEs) using unsupervised deep learning in this paper. To price options, assuming underlying processes follow Levy processes, we require to solve PIDEs. In supervised deep learning, pre-calculated labels are used to train neural networks to fit the solution of the PIDE. In an unsupervised deep learning, neural networks are employed as the solution, and the derivatives and the integrals in the PIDE are calculated based on the neural network. By matching the PIDE and its boundary conditions, the neural network gives an accurate solution of the PIDE. Once trained, it would be fast for calculating options values as well as option Greeks. Comment: 22 pages, 4 figures |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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