Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing

Deep Learning-Based Least Square Forward-Backward Stochastic Differential Equation Solver for High-Dimensional Derivative Pricing

Liang, Jian, (2020)

Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions

Chen, Yangang, (2021)

Efficient pricing and hedging of high-dimensional American options using deep recurrent networks

Na, Andrew S., (2023)