Neural optimal stopping boundary
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Cites work
- American options in the Volterra Heston model
- American Options with Lookback Payoff
- Approximation by superpositions of a sigmoidal function
- Asset pricing with general transaction costs: Theory and numerics
- Controlled Markov processes and viscosity solutions
- Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
- Convergence of the phase-field equations to the Mullins-Sekerka problem with kinetic undercooling
- Deep empirical risk minimization in finance: Looking into the future
- Deep hedging
- Deep learning of free boundary and Stefan problems
- Deep level-set method for Stefan problems
- Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis
- Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications
- Deep optimal stopping
- DeepSets and their derivative networks for solving symmetric PDEs
- DGM: a deep learning algorithm for solving partial differential equations
- Dynamic solid-solid transitions with phase characterized by an order parameter
- Front Propagation and Phase Field Theory
- Fronts propagating with curvature-dependent speed: Algorithms based on Hamilton-Jacobi formulations
- Hedging With Linear Regressions and Neural Networks
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 3449561 (Why is no real title available?)
- Improved lower and upper bound algorithms for pricing American options by simulation
- Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing
- Level set methods and dynamic implicit surfaces
- Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing
- On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems
- Optimal Stopping via Randomized Neural Networks
- Pricing American options by exercise rate optimization
- Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats
- Pricing of high-dimensional American options by neural networks
- Pricing options under rough volatility with backward SPDEs
- Solving high-dimensional optimal stopping problems using deep learning
- Solving high-dimensional partial differential equations using deep learning
- The Valuation of American Options on Multiple Assets
Cited in
(5)- A deep learning-based Monte Carlo algorithm with applications in American options pricing
- Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options
- Stopping times of boundaries: relaxation and continuity
- On the Pricing of American Options under Stochastic Local Volatility and Stochastic Correlation via the RBSDE Framework
- Joint arbitrage-free smoothing of American call and put options surfaces
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