Lookback option pricing under the double Heston model using a deep learning algorithm (Q2099529)
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scientific article; zbMATH DE number 7622771
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| English | Lookback option pricing under the double Heston model using a deep learning algorithm |
scientific article; zbMATH DE number 7622771 |
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Lookback option pricing under the double Heston model using a deep learning algorithm (English)
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24 November 2022
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double Heston PDE
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lookback option pricing
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deep Galerkin method
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Monte Carlo simulation
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0.7689265012741089
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0.7676355242729187
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0.7556526064872742
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0.7478014826774597
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