Lookback option pricing under the double Heston model using a deep learning algorithm
type: Item
instance of: scholarly article
title: Lookback option pricing under the double Heston model using a deep learning algorithm
author: Yanyan Li
published in: Computational and Applied Mathematics
publication date: 2022-11-24T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 68T07
zbMATH DE Number: 7622771
zbMATH Keywords: double Heston PDE
zbMATH Keywords: lookback option pricing
zbMATH Keywords: deep Galerkin method
zbMATH Keywords: Monte Carlo simulation
describes a project that uses: DGM
MaRDI profile type: Publication
full work available at URL: s40314-022-02098-5
OpenAlex ID: W4308264384
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DOI: 10.1007/S40314-022-02098-5
description: scientific article; zbMATH DE number 7622771