#3049. Deep ReLU network expression rates for option prices in high-dimensional, exponential L?vy models

November 2026publication date
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4 total number of authors per manuscript3510 $

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Journal’s subject area:
Statistics and Probability;
Finance;
Statistics, Probability and Uncertainty;
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Abstract:
The paper studies the expression rates of deep neural networks (DNN for short) for option prices recorded on baskets of d risky assets, the logarithmic return of which is modeled by a multivariate Levy process with a common correlation structure of jumps. In addition, parabolic smoothing of Kolmogorovs partial integro-differential equations for some multidimensional Lévy processes is used.
Keywords:
Barron space; Curse of dimensionality; Deep neural network; Expression rate; Levy process; Option pricing; Rademacher complexity

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