A residual network trained on eight years of Petrobras option data reports lower mean absolute error than Black-Scholes in the 3-19 BRL range, but the reported 64.3% reduction is contradicted by the paper's own table, which shows a 35.7% reduction.
Deep neural network framework based on backward stochastic differential equations for pricing and hedging american options in high dimensions
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Deep Learning vs. Black-Scholes: Option Pricing Performance on Brazilian Petrobras Stocks
A residual network trained on eight years of Petrobras option data reports lower mean absolute error than Black-Scholes in the 3-19 BRL range, but the reported 64.3% reduction is contradicted by the paper's own table, which shows a 35.7% reduction.