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Pricing and hedging American-style options with deep learning

Citations

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Cited by:

  1. Ludovic Goudenège & Andrea Molent & Antonino Zanette, 2025. "Backward hedging for American options with transaction costs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 48(1), pages 541-569, June.
  2. Francisco G'omez Casanova & 'Alvaro Leitao & Fernando de Lope Contreras & Carlos V'azquez, 2024. "Deep Joint Learning valuation of Bermudan Swaptions," Papers 2404.11257, arXiv.org.
  3. Lukas Gonon, 2022. "Deep neural network expressivity for optimal stopping problems," Papers 2210.10443, arXiv.org.
  4. Matteo Gambara & Giulia Livieri & Andrea Pallavicini, 2025. "Machine-learning regression methods for American-style path-dependent contracts," Quantitative Finance, Taylor & Francis Journals, vol. 25(6), pages 895-918, June.
  5. Ludovic Goudenège & Andrea Molent & Antonino Zanette, 2025. "Computing XVA for American basket derivatives by machine learning techniques," Computational Management Science, Springer, vol. 22(2), pages 1-33, December.
  6. Hainaut, Donatien & Akbaraly, Adnane, 2023. "Risk management with Local Least Squares Monte-Carlo," LIDAM Discussion Papers ISBA 2023003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  7. Calypso Herrera & Florian Krach & Pierre Ruyssen & Josef Teichmann, 2021. "Optimal Stopping via Randomized Neural Networks," Papers 2104.13669, arXiv.org, revised Dec 2023.
  8. Lukas Gonon, 2024. "Deep neural network expressivity for optimal stopping problems," Finance and Stochastics, Springer, vol. 28(3), pages 865-910, July.
  9. John Ery & Loris Michel, 2021. "Solving optimal stopping problems with Deep Q-Learning," Papers 2101.09682, arXiv.org, revised Jun 2024.
  10. Chinonso Nwankwo & Nneka Umeorah & Tony Ware & Weizhong Dai, 2024. "Deep Learning and American Options via Free Boundary Framework," Computational Economics, Springer;Society for Computational Economics, vol. 64(2), pages 979-1022, August.
  11. Ludovic Gouden`ege & Andrea Molent & Antonino Zanette, 2023. "Backward Hedging for American Options with Transaction Costs," Papers 2305.06805, arXiv.org, revised Jun 2023.
  12. Jasper Rou, 2025. "Time Deep Gradient Flow Method for pricing American options," Papers 2507.17606, arXiv.org.
  13. Ivan Guo & Nicolas Langren'e & Jiahao Wu, 2023. "Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks," Papers 2302.12439, arXiv.org, revised Nov 2024.
  14. Hao Zhou & Duy-Minh Dang, 2024. "Numerical analysis of American option pricing in a two-asset jump-diffusion model," Papers 2410.04745, arXiv.org, revised Apr 2025.
  15. Phillip Murray & Ben Wood & Hans Buehler & Magnus Wiese & Mikko S. Pakkanen, 2022. "Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions," Papers 2207.07467, arXiv.org.
  16. Nader Karimi & Erfan Salavati & Hirbod Assa & Hojatollah Adibi, 2023. "Sensitivity Analysis of Optimal Commodity Decision Making with Neural Networks: A Case for COVID-19," Mathematics, MDPI, vol. 11(5), pages 1-15, February.
  17. Balint Negyesi & Cornelis W. Oosterlee, 2025. "A deep BSDE approach for the simultaneous pricing and delta-gamma hedging of large portfolios consisting of high-dimensional multi-asset Bermudan options," Papers 2502.11706, arXiv.org.
  18. Riccardo Aiolfi & Nicola Moreni & Marco Bianchetti & Marco Scaringi, 2024. "Learning Bermudans," Computational Economics, Springer;Society for Computational Economics, vol. 64(5), pages 2813-2852, November.
    • Riccardo Aiolfi & Nicola Moreni & Marco Bianchetti & Marco Scaringi & Filippo Fogliani, 2021. "Learning Bermudans," Papers 2105.00655, arXiv.org.
  19. Min Dai & Yu Sun & Zuo Quan Xu & Xun Yu Zhou, 2024. "Learning to Optimally Stop Diffusion Processes, with Financial Applications," Papers 2408.09242, arXiv.org, revised Aug 2025.
  20. Beatriz Salvador & Cornelis W. Oosterlee & Remco van der Meer, 2020. "Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks," Mathematics, MDPI, vol. 9(1), pages 1-20, December.
  21. Jiefei Yang & Guanglian Li, 2024. "Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options," Papers 2405.02570, arXiv.org, revised Aug 2025.
  22. A. Max Reppen & H. Mete Soner & Valentin Tissot-Daguette, 2022. "Neural Optimal Stopping Boundary," Papers 2205.04595, arXiv.org, revised May 2023.
  23. Jiefei Yang & Guanglian Li, 2024. "A deep primal-dual BSDE method for optimal stopping problems," Papers 2409.06937, arXiv.org.
  24. Kenjiro Oya, 2024. "Deep Hedging Bermudan Swaptions," Papers 2411.10079, arXiv.org.
  25. Chinonso Nwankwo & Nneka Umeorah & Tony Ware & Weizhong Dai, 2022. "Deep learning and American options via free boundary framework," Papers 2211.11803, arXiv.org, revised Dec 2022.
  26. Marcello Monga, 2024. "Automated Market Making and Decentralized Finance," Papers 2407.16885, arXiv.org.
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