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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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Deep Learning-Based Least Square Forward-Backward Stochastic Differential Equation Solver for High-Dimensional Derivative Pricing
Liang, Jian - 2020
We propose a new forward-backward stochastic differential equation solver for highdimensional derivative pricing problems by combining deep learning solver with least square regression technique widely used in the least square Monte Carlo method for the valuation of American options. Our...
Persistent link: https://www.econbiz.de/10012849376
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Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo
Guo, Ivan - 2016
Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the …
Persistent link: https://www.econbiz.de/10012980091
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Option smiling when investors' estimates of asset volatility disagree
Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827
Persistent link: https://www.econbiz.de/10010419898
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Computational finance
Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4
use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …
Persistent link: https://www.econbiz.de/10012309311
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Rare disasters, credit, and option market puzzles
Christoffersen, Peter F.; Du, Du; Elkamhi, Redouane - In: Management science : journal of the Institute for … 63 (2017) 5, pp. 1341-1364
Persistent link: https://www.econbiz.de/10011684726
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Drawbacks and limitations of Black-Scholes model for options pricing
Janková, Zuzana - In: Journal of financial studies & research : JFSR 2018 (2018), pp. 1-7
Persistent link: https://www.econbiz.de/10011977593
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Efficient pricing algorithms for exotic derivatives
Lord, Roger - 2008
Persistent link: https://www.econbiz.de/10003775897
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MCMC methods for continuous-time financial econometrics
Johannes, Michael; Polson, Nicholas G. - 2010
Persistent link: https://www.econbiz.de/10003900732
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Exotic option, stochastic volatility and incentive scheme
Tang, J.; Yau, S. S.-T. - In: Computational finance and its applications II : [Second …, (pp. 183-192). 2006
Persistent link: https://www.econbiz.de/10003410142