American Options Pricing under Heston Model via Curriculum Learning in Coupled PINNs
通过课程学习与耦合 PINN 为 Heston 模型下的美式期权定价
In American options, the early exercise feature allows the option to be exercised at any time prior to expiration. However, this flexibility introduces a challenge: the pricing model must value the option while simultaneously determining an unknown, time-varying exercise boundary. The Heston model is one of the most popular ways to model real market behavior because it allows volatility to change over time. However, unlike European options, there is no closed-form solution…