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Machine learning methods for pricing financial derivatives

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  • Lei Fan
  • Justin Sirignano

Abstract

Stochastic differential equation (SDE) models are the foundation for pricing and hedging financial derivatives. The drift and volatility functions in SDE models are typically chosen to be algebraic functions with a small number ( $

Suggested Citation

  • Lei Fan & Justin Sirignano, 2026. "Machine learning methods for pricing financial derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 26(6), pages 931-959, June.
    • Handle: RePEc:taf:quantf:v:26:y:2026:i:6:p:931-959
    DOI: 10.1080/14697688.2026.2623901
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