Pricing barrier options with deep backward stochastic differential equation methods
Narayan Ganesan, Yajie Yu and Bernhard Hientzsch
| Year of publication: |
2022
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|---|---|
| Authors: | Ganesan, Narayan ; Yu, Yajie ; Hientzsch, Bernhard |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 25.2022, 4, p. 1-25
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| Subject: | barrier options | backward stochastic differential equation (BSDE) | deep learning | hedging profit and loss (P&L) | deep backward stochastic differential equation (deep BSDE) methods | Stochastischer Prozess | Stochastic process | Hedging | Optionspreistheorie | Option pricing theory | Analysis | Mathematical analysis | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2021.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014546284