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~isPartOf:"Decisions in economics and finance : DEF ; a journal of applied mathematics"
~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"Quantitative finance"
~subject:"Neural networks"
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Decisions in economics and finance : DEF ; a journal of applied mathematics
Journal of economic dynamics & control
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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:
2
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:
3
Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing
Liang, Jian
;
Xu, Zhe
;
Li, Peter
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1309-1323
Persistent link: https://www.econbiz.de/10012608649
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