关键词: Black-Scholes模型, 美式看跌期权, 深度神经网络

Abstract: We considered the American put option pricing problem under Black-Scholes model. Firstly, based on the Black-Scholes model, we designed a neural network algorithm for the model, and gave the numerical approximation of the American option price. Secondly, the effectiveness of the algorithm was proved by comparing with the traditional binomial tree method.

Key words: Black-Scholes model, American put option, deep neural network