2 papers
q-fin.CP2026
KANHedge: Efficient Hedging of High-Dimensional Options Using Kolmogorov-Arnold Network-Based BSDE Solver
Rushikesh Handal, Masanori Hirano
High-dimensional option pricing and hedging present significant challenges in quantitative finance, where traditional PDE-based methods struggle with the curse of dimensionality. T…
q-fin.CP2024
KANOP: A Data-Efficient Option Pricing Model using Kolmogorov-Arnold Networks
Rushikesh Handal, Kazuki Matoya, Yunzhuo Wang +1
Inspired by the recently proposed Kolmogorov-Arnold Networks (KANs), we introduce the KAN-based Option Pricing (KANOP) model to value American-style options, building on the conven…