American options, which allow early exercise at any point prior to expiry, present a unique challenge in quantitative finance. Their valuation gives rise to free-boundary problems that are typically ...

Our method for call options is summarised in the following algorithm: (1) We device the time interval into the grid 0≡t_0<t_1<...<t_n≡T and let D_0,D_1...,D_n be some values for the underlying asset ...

It shows the schematic of the physics-informed neural network algorithm for pricing European options under the Heston model. The market price of risk is taken to be λ=0. Automatic differentiation is ...