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- Title
Resolución de la ecuación diferencial parcial de Black-Scholes mediante redes neuronales físicamente informadas.
- Authors
Moreno Trujillo, John Freddy
- Abstract
Commemorative article for the 50th anniversary of the Black-Scholes mode presenting the derivation of the partial differential equation for pricing in the context of a continuous-time market model. The use of a physically-informed neural network (PINN) is proposed as a resolution method, as a novel technique in the field of scientific machine learning, which allows solving these types of equations without the need for a large amount of training data. The article includes the implementation of the method and the valuation results for the case of European call options.
- Subjects
PARTIAL differential equations; PRICES
- Publication
ODEON - Observatorio de Economía y Operaciones Numéricas, 2023, Issue 24, p71
- ISSN
1794-1113
- Publication type
Article
- DOI
10.18601/17941113.n24.05