Solving multi-dimensional fractional Black-Scholes model using deep learning
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Cites work
- A computational method to price with transaction costs under the nonlinear Black-Scholes model
- Deep backward schemes for high-dimensional nonlinear PDEs
- Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
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- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- scientific article; zbMATH DE number 1066320 (Why is no real title available?)
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- scientific article; zbMATH DE number 3045283 (Why is no real title available?)
- Localized kernel-based meshless method for pricing financial options underlying fractal transmission system
- Option pricing under the subordinated market models
- Parallel algorithms for initial-value problems for difference and differential equations
- Practical finite difference method for solving multi-dimensional Black-Scholes model in fractal market
- Pricing geometric Asian rainbow options under fractional Brownian motion
- Pricing of basket options in subdiffusive fractional Black-Scholes model
- Soliton solutions and strange wave solutions for (2+1)-dimensional nonlocal nonlinear Schrödinger equation with PT-symmetric term
- Solving fractional Black-Scholes equation by using Boubaker functions
- Solving high-dimensional partial differential equations using deep learning
- The Monte Carlo Method
- The pricing of options and corporate liabilities
- Two-dimensional stochastic dynamics as model for time evolution of the financial market
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