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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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Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing
Liang, Jian; Xu, Zhe; Li, Peter - In: Quantitative finance 21 (2021) 8, pp. 1309-1323
Persistent link: https://www.econbiz.de/10012608649
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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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American-type basket option pricing : a simple two-dimensional partial differential equation
Hanbali, Hamza; Linders, Daniel - In: Quantitative finance 19 (2019) 10, pp. 1689-1704
Persistent link: https://www.econbiz.de/10012194817
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Options on a traded account : symmetric treatment of the underlying assets
Večeř, Jan; Kampen, Joerg; Navratil, Robert - In: Quantitative finance 20 (2020) 1, pp. 37-47
Persistent link: https://www.econbiz.de/10012194853
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Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
Cheang, Gerald H. L.; Garces, Len Patrick Dominic M. - In: Quantitative finance 20 (2020) 2, pp. 291-310
Persistent link: https://www.econbiz.de/10012194867
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A PDE method for estimation of implied volatility
Matić, Ivan; Radoičić, Radoš; Stefanica, Dan - In: Quantitative finance 20 (2020) 3, pp. 393-408
Persistent link: https://www.econbiz.de/10012194873
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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, pp. 631-651
Persistent link: https://www.econbiz.de/10014304288
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Pairs trading under delayed cointegration
Yan, Tingjin; Chiu, Mei Choi; Wong, Hoi Ying - In: Quantitative finance 22 (2022) 9, pp. 1627-1648
Persistent link: https://www.econbiz.de/10013367938
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Quantum-inspired variational algorithms for partial differential equations : application to financial derivative pricing
Zhao, Tianchen; Sun, Chuhao; Cohen, Asaf; Stokes, James; … - In: Quantitative finance 24 (2024) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10014551890