Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
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Publication:2238770
DOI10.1007/s00780-021-00462-7zbMath1475.91356arXiv2101.11897OpenAlexW3196609896WikidataQ115606322 ScholiaQ115606322MaRDI QIDQ2238770
Publication date: 2 November 2021
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2101.11897
option pricingLévy processcurse of dimensionalityRademacher complexitydeep neural networkBarron spaceexpression rate
Processes with independent increments; Lévy processes (60G51) Artificial neural networks and deep learning (68T07) Integro-partial differential equations (45K05) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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