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Pricing the exotic: path-dependent american options with stochastic barriers
Rojas-Bernal, Alejandro; Villamizar-Villegas, Mauricio; … - 2021
Persistent link: https://www.econbiz.de/10012804267
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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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Robust option pricing : Hannan and Blackwell meet Black and Scholes
DeMarzo, Peter M.; Kremer, Ilan; Mansour, Yishay - In: Journal of economic theory 163 (2016), pp. 410-434
Persistent link: https://www.econbiz.de/10011593386
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Machine learning in finance : the case of deep learning for option pricing
Culkin, Robert; Das, Sanjiv R. - In: Journal of investment management : JOIM 15 (2017) 4, pp. 92-100
Persistent link: https://www.econbiz.de/10011914917
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Accuracy of deep learning in calibrating HJM forward curves
Benth, Fred Espen; Detering, Nils; Lavagnini, Silvia - In: Digital finance : smart data analytics, investment … 3 (2021) 3/4, pp. 209-248
Persistent link: https://www.econbiz.de/10012697962
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Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
Gonon, Lukas; Schwab, Christoph - In: Finance and stochastics 25 (2021) 4, pp. 615-657
Persistent link: https://www.econbiz.de/10012665197
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Generative Bayesian neural network model for risk-neutral pricing of American index options
Jang, Huisu; Lee, Jaewook - In: Quantitative finance 19 (2019) 4, pp. 587-603
Persistent link: https://www.econbiz.de/10012194699
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Considering momentum spillover effects via graph neural network in option pricing
Wang, Yao; Zhao, Jingmei; Qing, Li; Wei, Xiangyu - In: The journal of futures markets 44 (2024) 6, pp. 1069-1094
Persistent link: https://www.econbiz.de/10014536719
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Strategic asset valuation and higher stochastic moments : an adjusted black-scholes model
Milanesi, Gastón; Pesce, Gabriela; El Alabi, Emilio - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 95-106
Persistent link: https://www.econbiz.de/10011392906
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On two transform methods for the valuation of contingent claims
Nwozo, Chuma Raphael; Fadugba, Sunday Emmanuel - In: Journal of mathematical finance 5 (2015) 2, pp. 88-112
Persistent link: https://www.econbiz.de/10011398726