Showing 1 - 7 of 7
In this paper we introduce a deep learning method for pricing and hedging American-style options. It first computes a candidate optimal stopping policy. From there it derives a lower bound for the price. Then it calculates an upper bound, a point estimate and confidence intervals. Finally, it...
Persistent link: https://www.econbiz.de/10012309362
We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfolio given the state of the world at a later time, a problem that is particularly challenging if the portfolio...
Persistent link: https://www.econbiz.de/10012203982
In this paper, we deal with a class of time-homogeneous continuous-time Markov processes with transition probabilities bearing a nonparametric uncertainty. The uncertainty is modelled by considering perturbations of the transition probabilities within a proximity in Wasserstein distance. As a...
Persistent link: https://www.econbiz.de/10012550243
Based on the convergence of their infinitesimal generators in the mixed topology, we provide a stability result for strongly continuous convex monotone semigroups on spaces of continuous functions. In contrast to previous results, we do not rely on the theory of viscosity solutions but use a...
Persistent link: https://www.econbiz.de/10014284976
We study semigroups of convex monotone operators on spaces of continuous functions and their behaviour with respect to Г-convergence. In contrast to the linear theory, the domain of the generator is, in general, not invariant under the semigroup. To overcome this issue, we consider different...
Persistent link: https://www.econbiz.de/10012880662
In this paper, we investigate convex semigroups on Banach lattices with order continuous norm, having Lp-spaces in mind as a typical application. We show that the basic results from linear C0-semigroup theory extend to the convex case. We prove that the generator of a convex C0-semigroup is...
Persistent link: https://www.econbiz.de/10015422724
We consider convex monotone semigroups on a Banach lattice, which is assumed to be a Riesz subspace of a σ -Dedekind complete Banach lattice with an additional assumption on the dual space. As typical examples, we consider the space of bounded uniformly continuous functions and the space of...
Persistent link: https://www.econbiz.de/10015423936