# Pricing options on flow forwards by neural networks in Hilbert space

@article{Benth2022PricingOO, title={Pricing options on flow forwards by neural networks in Hilbert space}, author={Fred Espen Benth and Nils Detering and Luca Galimberti}, journal={ArXiv}, year={2022}, volume={abs/2202.11606} }

We propose a new methodology for pricing options on flow forwards by applying infinite-dimensional neural networks. We recast the pricing problem as an optimization problem in a Hilbert space of real-valued function on the positive real line, which is the state space for the term structure dynamics. This optimization problem is solved by facilitating a novel feedforward neural network architecture designed for approximating continuous functions on the state space. The proposed neural net is…

## One Citation

Neural Networks in Fr\'echet spaces

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