Expansion of Bermudan option price using deep learning

DOI10.1007/978-981-95-0652-1_3MaRDI QIDQ7299212zbMATH OpenFDO

Authors Riu Naito, Toshihiro Yamada

Publication date 17 July 2026

Full work available at URL https://doi.org/10.1007/978-981-95-0652-1_3

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

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• Neural network regression for Bermudan option pricing
• New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion
• Number of paths versus number of basis functions in American option pricing
• Operator splitting around Euler-Maruyama scheme and high order discretization of heat kernels
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• Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
• Solving high-dimensional optimal stopping problems using deep learning
• Solving high-dimensional partial differential equations using deep learning
• The Malliavin Calculus and Related Topics

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