Journal of Jilin University Science Edition ›› 2021, Vol. 59 ›› Issue (5): 1089-1092.
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SONG Haiming, HOU Di
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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
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SONG Haiming, HOU Di. Neural Network Algorithm for American Option Pricing under Black-Scholes Model[J].Journal of Jilin University Science Edition, 2021, 59(5): 1089-1092.
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http://xuebao.jlu.edu.cn/lxb/EN/Y2021/V59/I5/1089
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