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

Ali Hirsa and Weilong Fu

Papers from arXiv.org

Abstract: 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.

Date: 2020-06, Revised 2020-12
New Economics Papers: this item is included in nep-big and nep-cmp
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Citations: View citations in EconPapers (1)

Published in Quantitative Finance, 2022

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