Lookback option pricing under the double Heston model using a deep learning algorithm
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Publication:2099529
DOI10.1007/s40314-022-02098-5OpenAlexW4308264384MaRDI QIDQ2099529
Publication date: 24 November 2022
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40314-022-02098-5
Numerical methods (including Monte Carlo methods) (91G60) Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
Uses Software
Cites Work
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