Deep Curve-dependent PDEs for affine rough volatility

Antoine Jacquier and Mugad Oumgari

Papers from arXiv.org

Abstract: We introduce a new deep-learning based algorithm to evaluate options in affine rough stochastic volatility models. Viewing the pricing function as the solution to a curve-dependent PDE (CPDE), depending on forward curves rather than the whole path of the process, for which we develop a numerical scheme based on deep learning techniques. Numerical simulations suggest that the latter is a promising alternative to classical Monte Carlo simulations.

Date: 2019-06, Revised 2023-01
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