A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options-Reference-Cited by-同舟云学术

A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options

Published:2021-11 Issue: Volume:408 Page:126332
ISSN:0096-3003
Container-title:Applied Mathematics and Computation
language:en
Short-container-title:Applied Mathematics and Computation

Author:

Andersson Kristoffer,Oosterlee Cornelis W.

Funder

Horizon 2020 Marie Skłodowska-Curie Actions

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

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5. Deep optimal stopping;Becker;J. Mach. Learn. Res.,2019

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