Deep Curve-Dependent PDEs for Affine Rough Volatility

Abstract

We introduce a new deep learning–based algorithm to evaluate options in affine rough stochastic volatility models. Viewing the pricing function as the solution to a curve-dependent PDE, depending on forward curves rather than the whole path of the process, we develop a numerical scheme based on deep learning techniques. Numerical simulations suggest that the latter is a promising alternative to classical Monte Carlo simulations.