Adaptive neural network surrogate model for solving the implied volatility of time-dependent American option via Bayesian inference
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Publication:2696739
DOI10.3934/era.2022119OpenAlexW4225707772MaRDI QIDQ2696739
Kai Zhang, Yiyuan Qian, Jingzhi Li, Xiao Shen Wang
Publication date: 17 April 2023
Published in: Electronic Research Archive (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/era.2022119
Bayesian inverse problemMetropolis-Hastings samplingprimal-dual active-set methodadaptive neural network surrogate methodfar-field technique
Uses Software
Cites Work
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