Has anyone read the paper 'Pricing of High-Dimensional American Options by Neural Networks' by M. Kohler et al. (2010) and tried to program the proposed method in Python?

I have been trying that for more than 2 weeks. According to plots, the predictions I make with the neural networks in each timestep are good and the neural networks seem to converge. But at the end I still get a price range from like 4 to 4.6 for the put option with strike price 90 (it should be like something between 3.6 and 4.2). I am using Keras.

I don't have any more ideas why I do not get the same results. Maybe someone who has programmed it can give me a hint or maybe someone else has another idea.

Best regards,


  • 1
    $\begingroup$ Haven't tried that particular paper but if you share the code maybe we could help to figure out possible issues $\endgroup$ – David Duarte Jan 10 at 12:08

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