Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
Year of publication: |
2021
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Authors: | Chen, Yangang ; Wan, Justin W. L. |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 1, p. 45-67
|
Subject: | American options | Delta hedging | Neural network | Stochastic differential equations | Experiment | Hedging | Neuronale Netze | Neural networks | Analysis | Mathematical analysis | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
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