Skip to content
Preprint

Finance-Informed Operator Learning for Option Pricing with Quantum-Compatible Realizations

Sep 2026 · 0 citations
Mathematics Computer Science

Abstract

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.

View source

Similar papers

Open access 2026

Physics-Informed Neural Networks for Portfolio Optimisation and Algorithmic Trading: A Reproducible Pipeline with an Indian-Market Backtest

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 · 0 citations
#machine learning Preprint Aug 2026

Asymptotically-informed neural networks for Black-Scholes implied volatility computation

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,...

Samira Amiriyan, Youness Boutaib · 0 citations
#machine learning Preprint Oct 2026

Beyond Time Induction: Structured Conditional Neural Solvers for Parametric Stochastic-Volatility Pricing

Physics-informed neural networks provide a flexible framework for learning parametric PDE solution families without labeled data, yet preserving accurate derivatives across heterogeneous regimes remains challenging. Structured neural solvers offer compact representations, but restrictive conditional parameterizations c...

Jose Miguel Lara Rangel, Mixtli Vazquez Mendoza · 0 citations
Open access Aug 2026

Deep learning-enhanced calibration for nonlinear mixed stochastic models in European option pricing

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...

Juan-Juan Li · 0 citations
Preprint Aug 2026

Neural Calibration of a Complete Market Model

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

We use cookies to run the site and, with your consent, for analytics and to show ads. See our Cookie Policy.