Efficient pricing and hedging of high-dimensional American options using deep recurrent networks (Q6158427)
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scientific article; zbMATH DE number 7698401
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| English | Efficient pricing and hedging of high-dimensional American options using deep recurrent networks |
scientific article; zbMATH DE number 7698401 |
Statements
Efficient pricing and hedging of high-dimensional American options using deep recurrent networks (English)
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20 June 2023
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American option pricing
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deep recurrent neural networks
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stochastic differential equations
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delta hedging
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0.9123638868331908
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0.777070164680481
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0.7618283629417419
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0.7533607482910156
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0.7507798671722412
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