Automatic control variates for option pricing using neural networks (Q2040464)
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scientific article; zbMATH DE number 7371389
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| English | Automatic control variates for option pricing using neural networks |
scientific article; zbMATH DE number 7371389 |
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Automatic control variates for option pricing using neural networks (English)
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14 July 2021
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Monte Carlo method
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neural networks
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variance reduction
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control variate
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effective dimension
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0.7685652375221252
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0.7630323171615601
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0.739528477191925
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0.739125669002533
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0.7313115000724792
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