Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing
Jian Liang, Zhe Xu and Peter Li
| Year of publication: |
2021
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|---|---|
| Authors: | Liang, Jian ; Xu, Zhe ; Li, Peter |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 8, p. 1309-1323
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| Subject: | Bermudan option | Callable yield note (CYN) | Deep neural network (DNN) | Forward-backward stochastic differential equation (FBSDE) | High-dimensional derivative pricing | Least square regression (LSQ) | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Analysis | Mathematical analysis | Regressionsanalyse | Regression analysis | Neuronale Netze | Neural networks | Kleinste-Quadrate-Methode | Least squares method | Schätztheorie | Estimation theory | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2021.1881149 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012608649