Arbitrage-Free Neural-SDE Market Models
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Publication:6092913
DOI10.1080/1350486x.2023.2257217zbMath1530.91566arXiv2105.11053MaRDI QIDQ6092913
Samuel N. Cohen, Sheng Wang, Christoph Reisinger
Publication date: 23 November 2023
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2105.11053
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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