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Xin-Hao Wang

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Review Open access Sep 2026

The Evolution of Option Pricing Models: From Black-Scholes and Heston Models to Differentiable Deep Neural Networks

The development of the Black-Scholes and Heston models to DNN- and DDN-based surrogate models, as well as their applications in quantitative finance are reviewed, with some attention to computational efficiency in the repeated pricing and calibration.

Xin-Hao Wang · 0 citations

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