Option price is solved by partial differential equations with specific terminal conditions. In this
case, the PDE can be reformulated to BSDE. Recently, deep learning technology has been applied to
evaluate the value of options using the BSDE approach. This technique is used as a method of learning
the slope of a specific variable to solve BSDE including terminal conditions. In this paper, it proposes
a method to evaluate the value of ELS through deep learning using BSDE algorithms and Brownian
Bridge probability.
