Numerical solving of generalized Black-Scholes differential equation using deep learning based on blocked residual connection
Muzhou Hou, Huawei Fu, Zheng Hu, Jia Wang, Yinghao Chen, Yunlei Yang
Topics & Concepts
ResidualBlack–Scholes modelNumerical analysisValuation of optionsMathematical optimizationComputer sciencePartial differential equationVolatility (finance)Applied mathematicsArtificial neural networkConnection (principal bundle)Block (permutation group theory)Boundary value problemMathematicsAlgorithmMathematical analysisArtificial intelligenceEconometricsGeometryModel Reduction and Neural NetworksMachine Learning and ELMEnergy Load and Power Forecasting