Deep learning of transition probability densities for stochastic asset models with applications in option pricing
Haozhe Su, M.V. Tretyakov, David P. Newton
| Year of publication: |
2025
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| Authors: | Su, Haozhe ; Tretyakov, M. V. ; Newton, David P. |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 71.2025, 4, p. 2922-2952
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| Subject: | deep learning | neural networks | option pricing | parametric PDEs | transition probability density | Optionspreistheorie | Option pricing theory | Neuronale Netze | Neural networks | Stochastischer Prozess | Stochastic process | Lernprozess | Learning process | Wahrscheinlichkeitsrechnung | Probability theory | Statistische Verteilung | Statistical distribution | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2022.01448 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015413694