Deep learning is increasingly used in financial modeling, but its lack of transparency raises risks. Using the well-known Heston option pricing model as a benchmark, researchers show that global ...

We extend the existing small-time asymptotics for implied volatilities under the Heston stochastic volatility model to the multifactor volatility Heston model, which is also known as the Wishart ...

It shows the schematic of the physics-informed neural network algorithm for pricing European options under the Heston model. The market price of risk is taken to be λ=0. Automatic differentiation is ...

Stochastic volatility represents an essential framework for understanding the dynamic uncertainty inherent in financial markets. This approach extends traditional models by recognising that volatility ...

CNN architecture summary: The first dimension in all the layers “?” refers to the batch size. It is left as an unknown or unspecified variable within the network architecture so that it can be chosen ...