Pricing options using deep neural networks: a comparative study of supervised and unsupervised learning. Unsupervised learning is based on optimally weighted loss functions for solving PDEs with Neural Networks [1].

This was tested using python 3.7. First install dependencies with:

pip install -r requirements.txt

To train and plot the results of a model use:

python main.py -t -g MODEL_NAME

e.g.

python main.py -t -g BSSt

To see more options run:

python main.py -h

[1] van der Meer, R., Oosterlee, C., & Borovykh, A. (2020). Optimally weighted loss functions for solving pdes with neural networks. arXiv preprint arXiv:2002.06269. [arXiv]