Physics-informed neural networks building blocks for Heston model (IMAGE)

Shanghai Jiao Tong University Journal Center

Physics-informed neural networks building blocks for Heston model

Caption

It shows the schematic of the physics-informed neural network algorithm for pricing European options under the Heston model.  The market price of risk is taken to be λ=0. Automatic differentiation is used for computation of the partial derivatives of the network’s output u_NN, and an optimization algorithm is used for finding the optimal network parameters.

Credit

Bibi Sameenah Kauthar Bolaky (University of Mauritius, Mauritius) Jason Narsoo (University of Mauritius, Mauritius) Nawdha Thakoor, Désiré Yannick Tangman and Muddun Bhuruth (University of Mauritius, Mauritius)

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