Deep signature algorithm for multidimensional path-dependent options (Q6496949)
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scientific article; zbMATH DE number 7842599
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Deep signature algorithm for multidimensional path-dependent options |
scientific article; zbMATH DE number 7842599 |
Statements
Deep signature algorithm for multidimensional path-dependent options (English)
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6 May 2024
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reflected FBSDEs
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signature
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neural network
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Amerasian option
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path-dependent American options
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optimal stopping
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