Importance sampling for option pricing with feedforward neural networks

Gaussian processes (60G15) Numerical methods (including Monte Carlo methods) (91G60) Artificial neural networks and deep learning (68T07) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91Gxx) Acceleration of convergence in numerical analysis (65B99)

Cites Work

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