Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimensions
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Cited by:
- Sebastian Becker & Patrick Cheridito & Arnulf Jentzen, 2020. "Pricing and Hedging American-Style Options with Deep Learning," JRFM, MDPI, vol. 13(7), pages 1-12, July.
- Timothy DeLise, 2021. "Neural Options Pricing," Papers 2105.13320, arXiv.org.
- Raj G. Patel & Chia-Wei Hsing & Serkan Sahin & Samuel Palmer & Saeed S. Jahromi & Shivam Sharma & Tomas Dominguez & Kris Tziritas & Christophe Michel & Vincent Porte & Mustafa Abid & Stephane Aubert &, 2022. "Quantum-Inspired Tensor Neural Networks for Option Pricing," Papers 2212.14076, arXiv.org, revised Mar 2024.
- Stefan Kremsner & Alexander Steinicke & Michaela Szolgyenyi, 2020. "A deep neural network algorithm for semilinear elliptic PDEs with applications in insurance mathematics," Papers 2010.15757, arXiv.org, revised Dec 2020.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2019-10-07 (Big Data)
- NEP-CMP-2019-10-07 (Computational Economics)
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