Deep signature algorithm for multidimensional path-dependent options (Q6496949)
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scientific article; zbMATH DE number 7842599
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| default for all languages | No label defined |
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| English | Deep signature algorithm for multidimensional path-dependent options |
scientific article; zbMATH DE number 7842599 |
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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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0.8623137474060059
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0.7630795836448669
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0.7574284672737122
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