Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing

Jian Liang, Zhe Xu and Peter Li

Year of publication:	2021
Authors:	Liang, Jian ; Xu, Zhe ; Li, Peter
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 \| Derivat \| Derivative \| Analysis \| Mathematical analysis \| Regressionsanalyse \| Regression analysis \| Neuronale Netze \| Neural networks \| Kleinste-Quadrate-Methode \| Least squares method \| Schätztheorie \| Estimation theory \| Optionsgeschäft \| Option trading

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1080/14697688.2021.1881149 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012608649

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