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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, pp. 631-651
Persistent link: https://www.econbiz.de/10014304288
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Perpetual options on multiple underlyings
Duck, Peter W.; Evatt, Geoffrey W.; Johnson, Paul V. - In: Applied mathematical finance 21 (2014) 1/2, pp. 174-200
Persistent link: https://www.econbiz.de/10010352003
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Robust option pricing
Bandi, Chaithanya; Bertsimas, Dimitris - In: European journal of operational research : EJOR 239 (2014) 3, pp. 842-853
Persistent link: https://www.econbiz.de/10010411468
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European option pricing model based on uncertain fractional differential equation
Lu, Ziqiang; Yan, Hongyan; Zhu, Yuanguo - In: Fuzzy optimization and decision making : a journal of … 18 (2019) 2, pp. 199-217
Persistent link: https://www.econbiz.de/10012228556
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A general framework for pricing Asian options under stochastic volatility on parallel architecture
Corsaro, Stefania; Kyriakou, Ioannis; Marazzina, Daniele; … - In: European journal of operational research : EJOR 272 (2019) 3, pp. 1082-1095
Persistent link: https://www.econbiz.de/10011942796
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Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function
Grossinho, Maria do Rosário; Kord, Yaser; Ševčovič, … - In: Asia-Pacific financial markets 24 (2017) 4, pp. 291-308
Persistent link: https://www.econbiz.de/10011797690
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The Buffett critique : volatility and long-dated options
Gupta, Neeraj J.; Kurt, Mark; White, Reilly - In: Journal of economics and finance 40 (2016) 3, pp. 524-537
Persistent link: https://www.econbiz.de/10011659004
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Multiple shooting method for solving black-scholes equation
Abdi-Mazraeh, Somayeh; Khani, Ali; Irandoust-Pakchin, Safar - In: Computational economics 56 (2020) 4, pp. 723-746
Persistent link: https://www.econbiz.de/10012390448
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Historical calibration of SVJD models with deep learning
Fičura, Milan; Witzany, Jiří - 2023
We propose how deep neural networks can be used to calibrate the parameters of Stochastic-Volatility Jump …
Persistent link: https://www.econbiz.de/10014444774