most citedSolving the Stock Option Forecast problem by a numerical method for the Black-Scholes Equation with Machine Learning Classification Model

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math.OC2022★ 1 cited

Solving the Stock Option Forecast problem by a numerical method for the Black-Scholes Equation with Machine Learning Classification Model

Benjamin Jiang, Matthieu Durieux, Kirill V. Golubnichiy

We proposed classification models that utilize the result from the Quasi-Reversibility Method, which solves the Black-Scholes equation to forecast the option prices one day in adva…