Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
Yangang Chen and Justin W.L. Wan
| Year of publication: |
2021
|
|---|---|
| Authors: | Chen, Yangang ; Wan, Justin W. L. |
| Subject: | American options | Delta hedging | Neural network | Stochastic differential equations | Hedging | Optionspreistheorie | Option pricing theory | Neuronale Netze | Neural networks | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2020.1788219 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012424632