Explainable neural network for pricing and universal static hedging of contingent claims

DOI10.1016/j.amc.2021.126775OpenAlexW3216421894MaRDI QIDQ2060236

Shashi Jain, Vikranth Lokeshwar, Vikram Bharadwaj

Publication date: 13 December 2021

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.11362

zbMATH Keywords

neural networkAmerican Monte Carloregress lateruniversal static hedging

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx) Stochastic processes (60Gxx) Probabilistic methods, stochastic differential equations (65Cxx)

Related Items (3)

On a Neural Network to Extract Implied Information from American Options ⋮ Addressing the economic and demographic complexity via a neural network approach: risk measures for reverse mortgages ⋮ Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing

Cites Work

• Unnamed Item
• The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
• Connecting discrete and continuous path-dependent options
• Pricing and hedging guaranteed annuity options via static option replication.
• Multilayer feedforward networks are universal approximators
• Static hedging of multivariate derivatives by simulation
• A neural network-based framework for financial model calibration
• Neural network regression for Bermudan option pricing
• The difference between LSMC and replicating portfolio in insurance liability modeling
• A Continuity Correction for Discrete Barrier Options
• GPU acceleration of the stochastic grid bundling method for early-exercise options
• PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS
• Improved lower and upper bound algorithms for pricing American options by simulation
• Pricing American Options: A Duality Approach
• Monte Carlo valuation of American options
• Deep optimal stopping
• Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems

This page was built for publication: Explainable neural network for pricing and universal static hedging of contingent claims