An uncertainty-aware physics-informed neural network solution for the Black-Scholes equation: a novel framework for option pricing

Sina Kazemian, Ghazal Farhani, Amirhessam Yazdi

We present an uncertainty-aware, physics-informed neural network (PINN) for option pricing that solves the Black--Scholes (BS) partial differential equation (PDE) as a mesh-free, g…