Pricing options on flow forwards by neural networks in a Hilbert space
DOI10.1007/s00780-023-00520-2zbMath1530.91562arXiv2202.11606OpenAlexW4388972635MaRDI QIDQ6181517
Luca Galimberti, Fred Espen Benth, Nils Detering
Publication date: 2 January 2024
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2202.11606
stochastic partial differential equationsenergy marketsfutures priceHeath-Jarrow-Morton frameworkforward curvesefficient option pricingHilbert space neural networks
Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Hilbert spaces of continuous, differentiable or analytic functions (46E20)
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