The deep parametric PDE method and applications to option pricing
DOI10.1016/j.amc.2022.127355OpenAlexW4283768075WikidataQ114210822 ScholiaQ114210822MaRDI QIDQ2161843
Linus Wunderlich, Kathrin Glau
Publication date: 5 August 2022
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2012.06211
basket optionshigh-dimensional problemsparametric partial differential equationsdeep neural networksGreeks for multi-asset optionsparametric option pricing
Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)
Uses Software
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