Neural Network Learning of Black-Scholes Equation for Option Pricing

arXiv:2405.05780v1 Announce Type: new
Abstract: One of the most discussed problems in the financial world is stock option pricing. The Black-Scholes Equation is a Parabolic Partial Differential Equation which provides an option pricing model. The present work proposes an approach based on Neural Networks to solve the Black-Scholes Equations. Real-world data from the stock options market were used as the initial boundary to solve the Black-Scholes Equation. In particular, times series of call options prices of Brazilian companies Petrobras and …

abstract arxiv cs.lg data differential differential equation equation financial network networks neural network neural networks pricing solve stock type work world