This Neural network algorithm solves Black-Scholes (BS) equation. While there are already analytical and numerical solution being used for this equation, the Physics-inforemd Neural Network offers unique advantages. It can capture the dynamics where the Call price valuation deviates from the BS equation.
As evident in the figure, the numerical and analytical model follows an ideal Black-Scholes curve, but the real data might deviate from it. The datapoints are not sufficient enough, to do an independent data-driven prediction. PINN model considers both the ideal black Scholes curve and the deviated datapoints and thus develop a realistic model