Xin-Hao Wang

The Evolution of Option Pricing Models: From Black-Scholes and Heston Models to Differentiable Deep Neural Networks

Option pricing has moved away from the previous analytical and stochastic models to machine-learning-based methods. Therefore, a good model of the market and an efficient one for computation is required. This paper reviews the development of the Black-Scholes and Heston models to DNN- and DDN-based surrogate models, as...