Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing-Reference-Cited by-同舟云学术

Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing

Published:2021-03-26 Issue:8 Volume:21 Page:1309-1323
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Liang Jian¹,Xu Zhe¹,Li Peter¹

Affiliation:

1. Corporate Model Risk, Wells Fargo Bank, San Francisco, CA, USA

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2021.1881149

Reference29 articles.

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3. Discrete-time approximation for continuously and discretely reflected BSDEs

4. Pricing American-style securities using simulation

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