Option pricing in the Heston model with physics inspired neural networks
Author:
Funder
Fonds De La Recherche Scientifique - FNRS
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s10436-024-00452-7.pdf
Reference32 articles.
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3. Beck, C., Weinan, E., Jentzen, A.: Machine learning approximation algorithms for high dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations. J. Nonlinear Sci. 29, 1563–1619 (2019)
4. Biagini, F., Gonon, L., Reitsam, T.: Neural network approximation for superhedging prices. Math. Finance 33(1), 146–184 (2023)
5. Buehler, H., Gonon, L., Teichmann, J., Wood, B.: Deep hedging. Quant. Finance 19(8), 1–21 (2019)
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