Pricing options on flow forwards by neural networks in Hilbert space. (arXiv:2202.11606v1 [q-fin.PR])

We propose a new methodology for pricing options on flow forwards by applying
infinite-dimensional neural networks. We recast the pricing problem as an
optimization problem in a Hilbert space of real-valued function on the positive
real line, which is the state space for the term structure dynamics. This
optimization problem is solved by facilitating a novel feedforward neural
network architecture designed for approximating continuous functions on the
state space. The proposed neural net is built upon the basis of the …

arxiv flow networks neural networks pr pricing space