Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions (Q5014169)
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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)
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1 December 2021
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American options
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delta hedging
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neural network
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stochastic differential equations
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