Simultaneous upper and lower bounds of American option prices with hedging via neural networks

arXiv:2302.12439v2 Announce Type: replace-cross
Abstract: In this paper, we introduce two methods to solve the American-style option pricing problem and its dual form at the same time using neural networks. Without applying nested Monte Carlo, the first method uses a series of neural networks to simultaneously compute both the lower and upper bounds of the option price, and the second one accomplishes the same goal with one global network. The avoidance of extra simulations and the use of neural networks …

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