Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing (Q6178392)
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scientific article; zbMATH DE number 7790868
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing |
scientific article; zbMATH DE number 7790868 |
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Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing (English)
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18 January 2024
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Monte Carlo simulation
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quasi-Monte Carlo method
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artificial neural network
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stochastic gradient descent (SGD) optimization method
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LRV strategy
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European call option
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Black-Scholes model
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stochastic Lorentz equation
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