Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
Andrew S. Na, Justin W. L. Wan
| Year of publication: |
2023
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|---|---|
| Authors: | Na, Andrew S. ; Wan, Justin W. L. |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 4, p. 631-651
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| Subject: | American option pricing | Deep recurrent neural networks | Delta hedging | Stochastic differential equations | Experiment | Hedging | Optionspreistheorie | Option pricing theory | Neuronale Netze | Neural networks | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Black-Scholes-Modell | Black-Scholes model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2023.2167666 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014304288