Automatic control variates for option pricing using neural networks
type: Item
instance of: scholarly article
title: Automatic control variates for option pricing using neural networks
zbMATH Open document ID: 1469.91063
author: Zineb El Filali Ech-Chafiq
author: Jérôme Lelong
author: Adil Reghai
published in: Monte Carlo Methods and Applications
publication date: 2021-07-14T00:00:00Z
full work available at URL: Automatic Control variates for option pricing using neural networks .pdf
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 68T07
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7371389
zbMATH Keywords: Monte Carlo method
zbMATH Keywords: neural networks
zbMATH Keywords: variance reduction
zbMATH Keywords: control variate
zbMATH Keywords: effective dimension
describes a project that uses: Adam
MaRDI profile type: Publication
OpenAlex ID: W3121624243
cites work: Robust adaptive numerical integration of irregular functions with applications to basket and other multi-dimensional exotic options
cites work: Q4549489
cites work: Coupling importance sampling and multilevel Monte Carlo using sample average approximation
cites work: Adaptive Control Variates for Finite-Horizon Simulation
cites work: A framework for adaptive Monte Carlo procedures
cites work: Q4806850
cites work: Efficient Monte Carlo pricing of European options using mean value control variates
cites work: Monte Carlo integration with a growing number of control variates
cites work: Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates
cites work: The effective dimension and quasi-Monte Carlo integration
cites work: Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?
DOI: 10.1515/MCMA-2020-2081
description: scientific article; zbMATH DE number 7371389