Machine learning methods for pricing financial derivatives

Lei Fan and Justin Sirignano

Quantitative Finance, 2026, vol. 26, issue 6, 931-959

Abstract: Stochastic differential equation (SDE) models are the foundation for pricing and hedging financial derivatives. The drift and volatility functions in SDE models are typically chosen to be algebraic functions with a small number ( $

Date: 2026
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DOI: 10.1080/14697688.2026.2623901

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