A general machine learning framework of real-time evaluation for financial derivatives portfolios
Liangliang Zhang, Ruyan Tian, Qing Yang, Tingting Ye
| Year of publication: |
2025
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|---|---|
| Authors: | Zhang, Liangliang ; Tian, Ruyan ; Yang, Qing ; Ye, Tingting |
| Published in: |
Review of derivatives research. - Dordrecht [u.a.] : Springer Science + Business Media B.V, ISSN 1573-7144, ZDB-ID 2004343-0. - Vol. 28.2025, 2, Art.-No. 7, p. 1-21
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| Subject: | Greeks | Least-square Monte Carlo | Likelihood ratio | Machine learning | Malliavin weighting | Monte Carlo finite difference | Path derivative method | Real-time derivatives pricing | Regression pricing | Risk neutral no arbitrage pricing | Derivat | Derivative | Monte-Carlo-Simulation | Monte Carlo simulation | Künstliche Intelligenz | Artificial intelligence | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | CAPM | Arbitrage Pricing | Arbitrage pricing |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-025-09216-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015440643