Automatic control variates for option pricing using neural networks

DOI10.1515/MCMA-2020-2081MaRDI QIDQ2040464zbMATH OpenOpenAlexFDO

Authors Zineb El Filali Ech-Chafiq, Jérôme Lelong, Adil Reghai

Publication date 14 July 2021

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://hal.univ-grenoble-alpes.fr/hal-02891798/file/Automatic_Control_variates_for_option_pricing__using_neural_networks_.pdf

zbMATH Keywords

control variateeffective dimensionMonte Carlo methodneural networksvariance reduction

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A framework for adaptive Monte Carlo procedures
• Adaptive Control Variates for Finite-Horizon Simulation
• Coupling importance sampling and multilevel Monte Carlo using sample average approximation
• Efficient Monte Carlo pricing of European options using mean value control variates
• Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates
• scientific article; zbMATH DE number 1790424 (Why is no real title available?)
• scientific article; zbMATH DE number 1911041 (Why is no real title available?)
• Monte Carlo integration with a growing number of control variates
• Robust adaptive numerical integration of irregular functions with applications to basket and other multi-dimensional exotic options
• The effective dimension and quasi-Monte Carlo integration
• Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?

Cited in

(2)

• Deep weighted Monte Carlo: a hybrid option pricing framework using neural networks
• Importance sampling for option pricing with feedforward neural networks

Describes a project that uses

Uses Software

• Adam

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