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q-fin.CP2025
Time Deep Gradient Flow Method for pricing American options
Jasper Rou
In this research, we explore neural network-based methods for pricing multidimensional American put options under the BlackScholes and Heston model, extending up to five dimensions…
q-fin.CP2025
Error Analysis of Deep PDE Solvers for Option Pricing
Jasper Rou
Option pricing often requires solving partial differential equations (PDEs). Although deep learning-based PDE solvers have recently emerged as quick solutions to this problem, thei…
q-fin.CP2024
A time-stepping deep gradient flow method for option pricing in (rough) diffusion models
Antonis Papapantoleon, Jasper Rou
We develop a novel deep learning approach for pricing European options in diffusion models, that can efficiently handle high-dimensional problems resulting from Markovian approxima…