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Some explicitly solvable SABR and multiscale SABR models : option pricing and calibration
Fatone, Lorella; Mariani, Francesca; Recchioni, Maria … - In: Journal of mathematical finance 3 (2013) 1, pp. 10-32
Persistent link: https://www.econbiz.de/10010240231
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Artificial neural network for option pricing with and without asymptotic correction
Funahashi, Hideharu - In: Quantitative finance 21 (2021) 4, pp. 575-592
Persistent link: https://www.econbiz.de/10012483840
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Equal risk pricing of derivatives with deep hedging
Carbonneau, Alexandre; Godin, Frédéric - In: Quantitative finance 21 (2021) 4, pp. 593-608
Persistent link: https://www.econbiz.de/10012483841
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Dynamic programming for optimal stopping via pseudo-regression
Bayer, Christian; Redmann, Martin; Schoenmakers, John - In: Quantitative finance 21 (2021) 1, pp. 29-44
Persistent link: https://www.econbiz.de/10012424631
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Calibration and simulation of arbitrage effects in a non-equilibrium quantum black-scholes model by using semi-classical methods
Contreras, Mauricio; Pellicer, Rely; Santiagos, Daniel; … - In: Journal of mathematical finance 6 (2016) 4, pp. 541-561
Persistent link: https://www.econbiz.de/10011656953
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A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
Yamada, Toshihiro; Yamamoto, Kenta - In: Quantitative finance 20 (2020) 11, pp. 1825-1837
Persistent link: https://www.econbiz.de/10012313518
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An unsupervised deep learning approach to solving partial integro-differential equations
Fu, Weilong; Hirsa, Ali - In: Quantitative finance 22 (2022) 8, pp. 1481-1494
Persistent link: https://www.econbiz.de/10013367923
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Deep weighted Monte Carlo : a hybrid option pricing framework using neural networks
Kunsági-Máté, Sándor; Fáth, Gábor; Csabai, István; … - In: Quantitative finance 23 (2023) 4, pp. 615-629
Persistent link: https://www.econbiz.de/10014304287