{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/pricing-and-hedging-american-style-options","title":"Pricing and hedging American-style options with deep learning","arxiv_id":"1912.11060","date":"2019-12-23","proceeding":null,"authors":["Sebastian Becker","Patrick Cheridito","Arnulf Jentzen"],"abstract":"In this paper we introduce a deep learning method for pricing and hedging American-style options. It first computes a candidate optimal stopping policy. From there it derives a lower bound for the price. Then it calculates an upper bound, a point estimate and confidence intervals. Finally, it constructs an approximate dynamic hedging strategy. We test the approach on different specifications of a Bermudan max-call option. In all cases it produces highly accurate prices and dynamic hedging strategies with small replication errors.","url_abs":"https://arxiv.org/abs/1912.11060v3","url_pdf":"https://arxiv.org/pdf/1912.11060v3.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"pricing-and-hedging-american-style-options","repo_url":"https://github.com/HeKrRuTe/OptStopRandNN","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"pytorch","reach":null}],"tasks":[{"task_slug":"deep-learning","task_name":"Deep Learning"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"syntology_url":null,"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}