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~isPartOf:"Journal of mathematical finance"
~isPartOf:"Quantitative finance"
~person:"Wan, Justin W. L."
~subject:"Black-Scholes-Modell"
~subject:"Derivat"
~subject:"Estimation theory"
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Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
Chen, Yangang
;
Wan, Justin W. L.
- In:
Quantitative finance
21
(
2021
)
1
,
pp. 45-67
Persistent link: https://www.econbiz.de/10012424632
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Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
Na, Andrew S.
;
Wan, Justin W. L.
- In:
Quantitative finance
23
(
2023
)
4
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pp. 631-651
Persistent link: https://www.econbiz.de/10014304288
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