Empirical convergence rates for TDGF and DGM in Black-Scholes and Heston models show sampling stages and time steps are the main accuracy drivers, while sample count and network width have weak or unclear effects.
DelftBlue Supercomputer (Phase 1).https: //www.tudelft.nl/dhpc/ark:/44463/DelftBluePhase1, 2022
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Error Analysis of Deep PDE Solvers for Option Pricing
Empirical convergence rates for TDGF and DGM in Black-Scholes and Heston models show sampling stages and time steps are the main accuracy drivers, while sample count and network width have weak or unclear effects.