Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
Year of publication: |
2023
|
---|---|
Authors: | Na, Andrew S. ; Wan, Justin W. L. |
Subject: | American option pricing | Deep recurrent neural networks | Delta hedging | Stochastic differential equations | Hedging | Optionspreistheorie | Option pricing theory | Neuronale Netze | Neural networks | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model | Analysis | Mathematical analysis |
-
Chen, Yangang, (2021)
-
A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
Yamada, Toshihiro, (2020)
-
Dupire, Bruno, (2019)
- More ...
-
Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
Tse, S. T., (2013)
-
Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
Tse, S. T., (2013)
-
Low-Bias Simulation Scheme for the Heston Model by Inverse Gaussian Approximation
Tse, Shu Tong, (2010)
- More ...