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When Does Deep Learning Make Sense for American Option Pricing?
This article summarizes a completed deep-learning project on American put option pricing, built as a reproducible research workflow and fully documented in the public GitHub repository linked at the end. The question driving it wasn't whether a neural network can fit option prices — of course it can — but whether deep learning adds anything a competent numerical method doesn't already give you.
Kamen Dimitrov
Aug 198 min read
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