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Lu, Ziqiang
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1
Control variate method for deep BSDE solver using weak approximation
Tsuchida, Yoshifumi
- In:
Asia Pacific financial markets
30
(
2023
)
2
,
pp. 273-296
Persistent link: https://www.econbiz.de/10014342288
Saved in:
2
Parameter estimation for uncertain fractional differential equations
He, Liu
;
Zhu, Yuanguo
;
Lu, Ziqiang
- In:
Fuzzy optimization and decision making : a journal of …
22
(
2023
)
1
,
pp. 103-122
Persistent link: https://www.econbiz.de/10014227970
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3
Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
Na, Andrew S.
;
Wan, Justin W. L.
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 631-651
Persistent link: https://www.econbiz.de/10014304288
Saved in:
4
Neural variance reduction for stochastic differential equations
Hinds, P. D.
;
Tretyakov, M. V.
- In:
The journal of computational finance : JFC
27
(
2023
)
3
,
pp. 1-41
Persistent link: https://www.econbiz.de/10014487028
Saved in:
5
Robust pricing and hedging via neural stochastic differential equations
Gierjatowicz, Patrick
;
Sabate-Vidales, Marc
;
Siska, David
; …
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 1-32
Persistent link: https://www.econbiz.de/10014314540
Saved in:
6
Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
Zhang, Yumo
- In:
Annals of finance
18
(
2022
)
4
,
pp. 511-544
Persistent link: https://www.econbiz.de/10013489465
Saved in:
7
The VIX and future information
Hess, Markus
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012807884
Saved in:
8
Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
Chen, Yangang
;
Wan, Justin W. L.
- In:
Quantitative finance
21
(
2021
)
1
,
pp. 45-67
Persistent link: https://www.econbiz.de/10012424632
Saved in:
9
A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
Yamada, Toshihiro
;
Yamamoto, Kenta
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1825-1837
Persistent link: https://www.econbiz.de/10012313518
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10
Options on a traded account : symmetric treatment of the underlying assets
Večeř, Jan
;
Kampen, Joerg
;
Navratil, Robert
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 37-47
Persistent link: https://www.econbiz.de/10012194853
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