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Deep structural estimation: with an application to option pricing

Chen, Hui; Didisheim, Antoine; Scheidegger, Simon - 2021

Persistent link: https://www.econbiz.de/10012819482

Horvath, Blanka Nora; Teichmann, Josef; Zuric, Zan - 2021

We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional) Markovian setup. In particular we analyse the hedging performance of the original architecture under rough volatility models with view to existing theoretical results for those....

Persistent link: https://www.econbiz.de/10012800441

Option hedging using LSTM-RNN : an empirical analysis

Zhang, Junhuan; Huang, Wenjun - In: Quantitative finance 21 (2021) 10, pp. 1753-1772

Persistent link: https://www.econbiz.de/10012653710

A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver

Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021 - This version : August 10, 2021

Persistent link: https://www.econbiz.de/10012616192

An acceleration scheme for deep learning-based BSDE solver using weak expansions

Naito, Riu; Yamada, Toshihiro - In: International journal of financial engineering 7 (2020) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10012602946

Multistep forecast of the implied volatility surface using deep learning

Medvedev, Nikita; Wang, Zhiguang - In: The journal of futures markets 42 (2022) 4, pp. 645-667

Persistent link: https://www.econbiz.de/10013187579

A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver

Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021

Persistent link: https://www.econbiz.de/10012813680

Gaussian clustering and jump-diffusion models of electricity prices : a deep learning analysis

Mari, Carlo; Mari, Emiliano - In: Decisions in economics and finance : a journal of … 44 (2021) 2, pp. 1039-1062

Persistent link: https://www.econbiz.de/10012795108

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

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