Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
| Year of publication: |
2021
|
|---|---|
| Authors: | Gonon, Lukas ; Schwab, Christoph |
| Published in: |
Finance and Stochastics. - Berlin, Heidelberg : Springer, ISSN 1432-1122. - Vol. 25.2021, 4, p. 615-657
|
| Publisher: |
Berlin, Heidelberg : Springer |
| Subject: | Deep neural network | Lévy process | Option pricing | Expression rate | Curse of dimensionality | Rademacher complexity | Barron space |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Article |
| Language: | English |
| Other identifiers: | 10.1007/s00780-021-00462-7 [DOI] |
| Classification: | t07 ; g51 ; C63 - Computational Techniques ; C67 - Input-Output Models |
| Source: |
Persistent link: https://www.econbiz.de/10014497566