Arbitrage-free neural-SDE market models
Year of publication: |
2023
|
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Authors: | Cohen, Samuel N. ; Reisinger, Christoph ; Wang, Sheng |
Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 30.2023, 1, p. 1-46
|
Subject: | constrained diffusions | European options | Market models | neural networks | neural SDE | no-arbitrage | Neuronale Netze | Neural networks | Optionspreistheorie | Option pricing theory | Arbitrage Pricing | Arbitrage pricing | Optionsgeschäft | Option trading | Zinsstruktur | Yield curve |
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