Deep BSDE solver with jumps in Python

How to run the examples

For each example in the paper you can find a dedicated script.

• script_expectation.py: a simple test for the martingale property.
• script_call_option.py: a call option on one asset following a Merton jump diffusion.
• script_basket_option.py: a basket call on 100 assets each following a Merton jump diffusion.
• script_call_option_CGMY.py: an example in dimension one with infinite activity.

Dependencies

• Tensorflow

Reference

[1] Andersson, K. Gnoatto, A., Patacca, M., Picarelli, A. A Deep Solver for BSDEs with Jumps. https://arxiv.org/abs/2211.04349