Option Pricing with Time-Stepped FBSDE and Deep Learning

Final project and presentation for NYU course MATH-GA 2047, Trends in Financial Data Science. We take an in depth look at the Bernhard Hientzsch's 2019 paper "Introduction to Solving Quant Finance Problems with Time-Stepped FBSDE and Deep Learning", which explains how you can use a forward backward approach with deep neural networks for financial problems such as option pricing. We also reproduced the paper's code and produced graphical results.