Pricing European options under local volatility requires repeatedly solving a PDE whose coefficients change with recalibration, while practitioners need both prices and sensitivities across spot-time surfaces. Neural surrogates can amortize these solves, but near expiry the solution loses regularity, making curvature difficult to learn and allowing violations of no-arbitrage bounds. We propose a finance-informed Deep Operator Network (FI-DeepONet) that decomposes the pricing operator into an input-dependent Black-Scholes carrier and a learned correction. The carrier uses strike-line integrated variance, capturing the leading near-expiry curvature singularity, while a smooth monotone Financial Admissibility Layer enforces pointwise price bounds. We derive a short-maturity estimate and differentiated asymptotics for the exact correction, together with identities linking correction error to price, sensitivity, and PDE-residual errors. On in-distribution tests, FI-DeepONet reduces global relative price error by nearly an order of magnitude versus vanilla and physics-informed DeepONet baselines. On parameter-shift OOD tests within the same local-volatility family, generalization is moderate. On index-option data, the frozen model remains accurate without market-specific retraining, though it does not outperform the same-input analytic formula. We also give a quantum-compatible realization in which selected linear maps are exactly compiled or approximated by a restricted diagonal-orthogonal family before supervised adaptation.
The lesson is deliberately sober: the physics supplies the correct allocation rule, a constant policy on a stable long-run premium is competitive with a sensible fixed mix and far gentler on drawdown than buy-and-hold, and the value that remains is almost entirely in estimating the inputs.
S. Satyanarayana· International Journal of Com...· 0 citations
The identifiability of Q from option data is characterized and a measure that is identifiable from data yet prices any claim consistently is proposed, called XiNet, which is a single measure that absorbs available instruments and prices all claims consistently.
The computation of Black-Scholes implied volatility is a fundamental task in quantitative finance, underpinning option valuation, model calibration and risk management. Although implied volatility is routinely used in practice, the inversion of the Black-Scholes pricing formula remains a challenging numerical problem,...
This paper studies European option pricing in a regime-switching Heston-Hull-White framework. The model combines stochastic volatility, stochastic interest rates, and a Markov-chain-driven regime-switching mechanism, allowing part of the market dynamics to vary across different states. Under the risk-neutral measure, a...
We propose a neural calibration method to construct a recombining binomial tree directly from a set of given option prices. Rather than estimating a continuous option pricing function or a local volatility surface as an intermediate object, a neural network is used to deform a benchmark lattice. This leads to a discret...
Andrea Molent, M. Vellekoop· 0 citations
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