Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing
Year of publication: |
2021
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Authors: | Liang, Jian ; Xu, Zhe ; Li, Peter |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 8, p. 1309-1323
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Subject: | Bermudan option | Callable yield note (CYN) | Deep neural network (DNN) | Forward-backward stochastic differential equation (FBSDE) | High-dimensional derivative pricing | Least square regression (LSQ) | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Derivat | Derivative | Neuronale Netze | Neural networks | Regressionsanalyse | Regression analysis | Kleinste-Quadrate-Methode | Least squares method |
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