In this work, we study the deep signature algorithms for path-dependent FBSDEs with reflections. We follow the backward scheme in [Hur\'e-Pham-Warin. Mathematics of Computation 89, no. 324 (2020)] for state-dependent FBSDEs with reflections, and combine it with the signature layer to solve American type option pricing problems while the payoff function depends on the whole paths of the underlying forward stock process. We prove the convergence analysis of our numerical algorithm and provide numerical example for Amerasian option under the Black-Scholes model.
翻译:在这项工作中,我们研究了基于路径的FBSDEs的深层签名算法,并进行了反省。我们遵循了[Hur\'e-Pham-warin,计算数学89,No. 324(202020年)中以国家为基础的FBSDEs的后向计划,用反省法进行反省,并将它与签名层结合起来,以解决美国类型的备选定价问题,而收益函数则取决于潜在的远端股票流程的整个路径。我们证明了我们的数字算法的趋同分析,并为黑雪模型下的Amerasian选项提供了数字示例。