• Corpus ID: 228373783

The Deep Parametric PDE Method: Application to Option Pricing

@article{Glau2020TheDP,
  title={The Deep Parametric PDE Method: Application to Option Pricing},
  author={Kathrin Glau and Linus Wunderlich},
  journal={arXiv: Computational Finance},
  year={2020}
}
We propose the deep parametric PDE method to solve high-dimensional parametric partial differential equations. A single neural network approximates the solution of a whole family of PDEs after being trained without the need of sample solutions. As a practical application, we compute option prices in the multivariate Black-Scholes model. After a single training phase, the prices for different time, state and model parameters are available in milliseconds. We evaluate the accuracy in the price… 
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