Deep learning and American options via free boundary framework

@article{Nwankwo2022DeepLA,
  title={Deep learning and American options via free boundary framework},
  author={Chinonso Nwankwo and Nneka Umeorah and Tony Ware and Weizhong Dai},
  journal={ArXiv},
  year={2022},
  volume={abs/2211.11803}
}
We propose a deep learning method for solving the American options model with a free boundary feature. To extract the free boundary known as the early exercise boundary from our proposed method, we introduce the Landau transformation. For efficient implementation of our proposed method, we further construct a dual solution framework consisting of a novel auxiliary function and free boundary equations. The auxiliary function is formulated to include the feed forward deep neural network (DNN… 

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