Deep signature algorithm for multidimensional path-dependent options

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Cites Work

On probability laws of solutions to differential systems driven by a fractional Brownian motion
Convergence of solutions of discrete reflected backward SDE's and simulations
Switching problem and related system of reflected backward SDEs
Numerical solution of stochastic differential equations with jumps in finance
Asymptotic expansion of stochastic flows
Reflected solutions of backward SDE's, and related obstacle problems for PDE's
A numerical scheme for BSDEs
Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems
Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs
Switching problems with controlled randomisation and associated obliquely reflected BSDEs
Nonparametric regression using deep neural networks with ReLU activation function
Convergence of the deep BSDE method for coupled FBSDEs
Neural network regression for Bermudan option pricing
Representations and regularities for solutions to BSDEs with reflections
On an Optimal Stopping Problem of an Insider
Analytical Valuation of American-Style Asian Options
Multidimensional Stochastic Processes as Rough Paths
Pricing Asset Scheduling Flexibility using Optimal Switching
PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
System Control and Rough Paths
Deep backward schemes for high-dimensional nonlinear PDEs
Solving high-dimensional partial differential equations using deep learning
Solving high-dimensional optimal stopping problems using deep learning
Pricing Options under Rough Volatility with Backward SPDEs
JDOI variance reduction method and the pricing of American-style options
Optimal Execution with Rough Path Signatures
Density of the signature process of fBm
Deep optimal stopping
A course on rough paths. With an introduction to regularity structures
Optimal stopping with signatures
Deep signature FBSDE algorithm

This page was built for publication: Deep signature algorithm for multidimensional path-dependent options