{"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/the-deep-parametric-pde-method-application-to","title":"The Deep Parametric PDE Method: Application to Option Pricing","arxiv_id":"2012.06211","date":"2020-12-11","proceeding":null,"authors":["Kathrin Glau","Linus Wunderlich"],"abstract":"We propose the deep parametric PDE method to solve high-dimensional parametric partial differential equations. A single neural network approximates the solution of a whole family of PDEs after being trained without the need of sample solutions. As a practical application, we compute option prices in the multivariate Black-Scholes model. After a single training phase, the prices for different time, state and model parameters are available in milliseconds. We evaluate the accuracy in the price and a generalisation of the implied volatility with examples of up to 25 dimensions. A comparison with alternative machine learning approaches, confirms the effectiveness of the approach.","url_abs":"https://arxiv.org/abs/2012.06211v1","url_pdf":"https://arxiv.org/pdf/2012.06211v1.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":"the-deep-parametric-pde-method-application-to","repo_url":"https://github.com/LWunderlich/DeepPDE","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":0,"framework":"none","reach":null}],"tasks":[{"task_slug":"machine-learning","task_name":"BIG-bench Machine Learning"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}