Pricing Options under Rough Volatility with Backward SPDEs
DOI10.1137/20M1357639zbMath1484.91469arXiv2008.01241OpenAlexW4221040644MaRDI QIDQ5065084
Yao Yao, Christian Bayer, Jinniao Qiu
Publication date: 18 March 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2008.01241
option pricingstochastic partial differential equationmachine learningstochastic Feynman-Kac formularough volatilitystochastic Black-Scholes equation
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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