Learning the random variables in Monte Carlo simulations with stochastic gradient descent : machine learning for parametric PDEs and financial derivative pricing
Sebastian Becker, Arnulf Jentzen, Marvin S. Müller, Philippe von Wurstemberger
| Year of publication: |
2024
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|---|---|
| Authors: | Becker, Sebastian ; Jentzen, Arnulf ; Müller, Marvin S. ; Wurstemberger, Philippe von |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 34.2024, 1, p. 90-150
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| Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Künstliche Intelligenz | Artificial intelligence | Optionspreistheorie | Option pricing theory | Lernprozess | Learning process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12405 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014471160