Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions (Q5014169): Difference between revisions
From MaRDI portal
Latest revision as of 08:40, 27 July 2024
scientific article; zbMATH DE number 7436776
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions |
scientific article; zbMATH DE number 7436776 |
Statements
Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions (English)
0 references
1 December 2021
0 references
American options
0 references
delta hedging
0 references
neural network
0 references
stochastic differential equations
0 references
0 references
0 references
