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Evolutionary Neural Networks for Option Pricing: Multi-Assets Option and Exotic Option
Published in Proceedings of the AAAI Symposium Series, 2023
This paper proposed a novel approach called Evolutionary Neural Network to solve option pricing problems. Evolutionary Neural Network has time-variable parameters, transforming the time-dependent PDEs into ODEs and then applying a standard ODE solver to solve it. This framework is flexible with boundary conditions and can scale up to higher dimensions, allowing pricing customized options.
Recommended citation: Li, Y., Wu, Z., & Ye, F. (2023). Evolutionary Neural Networks for Option Pricing: Multi-Assets Option and Exotic Option. Proceedings of the AAAI Symposium Series.
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