Deep weighted Monte Carlo : a hybrid option pricing framework using neural networks
Year of publication: |
2023
|
---|---|
Authors: | Kunsági-Máté, Sándor ; Fáth, Gábor ; Csabai, István ; Molnár-Sáska, Gábor |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 4, p. 615-629
|
Subject: | Option pricing | Deep learning | Monte Carlo | Variational autoencoders | Volatility surface | Experiment | Optionspreistheorie | Option pricing theory | Neuronale Netze | Neural networks | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility |
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