Explainable neural network for pricing and universal static hedging of contingent claims (Q2060236): Difference between revisions

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-.1016/j.amc.2021.126775
@@ Property / DOI: 10.1016/j.amc.2021.126775 / rank @@
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+W3216421894
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+Deep optimal stopping
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+Improved lower and upper bound algorithms for pricing American options by simulation
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+A Continuity Correction for Discrete Barrier Options
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+Connecting discrete and continuous path-dependent options
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+Q4453509
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+Multilayer feedforward networks are universal approximators
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+The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
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+PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS
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+Neural network regression for Bermudan option pricing
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+GPU acceleration of the stochastic grid bundling method for early-exercise options
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+A neural network-based framework for financial model calibration
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+Static hedging of multivariate derivatives by simulation
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+The difference between LSMC and replicating portfolio in insurance liability modeling
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+Monte Carlo valuation of American options
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@@ Property / DOI @@
+.1016/J.AMC.2021.126775
@@ Property / DOI: 10.1016/J.AMC.2021.126775 / rank @@
+Normal rank