American Options Pricing under Heston Model via Curriculum Learning in Coupled PINNs
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| Format: | Preprint |
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2026
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| _version_ | 1866915989872967680 |
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| author | Rohan Shetty, Siddanth Kumar, Amit N. |
| author_facet | Rohan Shetty, Siddanth Kumar, Amit N. |
| contents | In American options, the early exercise feature allows the option to be exercised at any time prior to expiration. However, this flexibility introduces a challenge: the pricing model must value the option while simultaneously determining an unknown, time-varying exercise boundary. The Heston model is one of the most popular ways to model real market behavior because it allows volatility to change over time. However, unlike European options, there is no closed-form solution for American options under the Heston model, so we have to use numerical methods. In this paper, we propose a novel approach to solving the stochastic Heston partial differential equation for American options, using coupled physics-informed neural networks (PINNs) to predict both the option price and the free boundary, while employing curriculum learning and adaptive resampling to stabilize model training. Our work builds on recent deep learning methods but introduces a more effective training strategy to address the limitations of these approaches. The numerical results demonstrate the effectiveness of the proposed learning framework, providing a robust and efficient alternative to pricing American options, enabling rapid inference and accurate estimation under stochastic volatility. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2605_06688 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | American Options Pricing under Heston Model via Curriculum Learning in Coupled PINNs Rohan Shetty, Siddanth Kumar, Amit N. Computational Finance Probability Statistics Theory Primary: 91G20, 91G15, Secondary: 62P05, 68T07 In American options, the early exercise feature allows the option to be exercised at any time prior to expiration. However, this flexibility introduces a challenge: the pricing model must value the option while simultaneously determining an unknown, time-varying exercise boundary. The Heston model is one of the most popular ways to model real market behavior because it allows volatility to change over time. However, unlike European options, there is no closed-form solution for American options under the Heston model, so we have to use numerical methods. In this paper, we propose a novel approach to solving the stochastic Heston partial differential equation for American options, using coupled physics-informed neural networks (PINNs) to predict both the option price and the free boundary, while employing curriculum learning and adaptive resampling to stabilize model training. Our work builds on recent deep learning methods but introduces a more effective training strategy to address the limitations of these approaches. The numerical results demonstrate the effectiveness of the proposed learning framework, providing a robust and efficient alternative to pricing American options, enabling rapid inference and accurate estimation under stochastic volatility. |
| title | American Options Pricing under Heston Model via Curriculum Learning in Coupled PINNs |
| topic | Computational Finance Probability Statistics Theory Primary: 91G20, 91G15, Secondary: 62P05, 68T07 |
| url | https://arxiv.org/abs/2605.06688 |