Pricing Options under Rough Volatility with Backward SPDEs (Q5065084)
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scientific article; zbMATH DE number 7493051
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing Options under Rough Volatility with Backward SPDEs |
scientific article; zbMATH DE number 7493051 |
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Pricing Options under Rough Volatility with Backward SPDEs (English)
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18 March 2022
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rough volatility
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option pricing
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stochastic partial differential equation
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machine learning
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stochastic Feynman-Kac formula
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stochastic Black-Scholes equation
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