Importance sampling for option pricing with feedforward neural networks
Aleksandar Arandjelović, Thorsten Rheinländer, Pavel V. Shevchenko
| Year of publication: |
2025
|
|---|---|
| Authors: | Arandjelović, Aleksandar ; Rheinländer, Thorsten ; Shevchenko, Pavel V. |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 29.2025, 1, p. 97-141
|
| Subject: | Cameron-Martin space | Doléans-Dade exponential | Feedforward neural networks | Importance sampling | Universal approximation | Neuronale Netze | Neural networks | Stichprobenerhebung | Sampling | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Stochastischer Prozess | Stochastic process |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-024-00549-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015394776