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The deep parametric PDE method and applications to option pricing
15 references·0 citing·46 second hop
The deep parametric PDE method and applications to option pricing (2022)The deep parametric PDE method and applic…Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models (2021)Deep ReLU network expression …Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing (2020)Low-Rank Tensor Approximation…Deep xVA Solver – A Neural Network Based Counterparty Credit Risk Management Framework (2020)Deep xVA Solver – A Neural Ne…Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models (2020)Deep learning volatility: a d…Pricing Options and Computing Implied Volatilities using Neural Networks (2019)Pricing Options and Computing…Neural Networks for Option Pricing and Hedging: A Literature Review (2019)Neural Networks for Option Pr…Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations (2019)Machine Learning Approximatio…A neural network-based framework for financial model calibration (2019)A neural network-based framew…Smoothing the payoff for efficient computation of Basket option prices (2017)Smoothing the payoff for effi…Large Deviations and Asymptotic Methods in Finance (2015)Large Deviations and Asymptot…Computational Methods for Quantitative Finance: Finite Element Methods for Derivative Pricing (2013)Computational Methods for Qua…Analysis of Fourier Transform Valuation Formulas and Applications (2010)Analysis of Fourier Transform…A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks (1994)A Nonparametric Approach to P…A neural network model for estimating option prices (1993)A neural network model for es…On Distributions of Certain Wiener Functionals (1949)On Distributions of Certain W…Stochastic Partial Differential Equations (2007)Lévy random bridges and the modelling of financial information (2010)Efficient estimation of integrated volatility functionals via multiscale jackknife (2018)Pathwise large deviations for the rough Bergomi model (2018)Precise asymptotics: Robust stochastic volatility models (2021)The Handbook of Social Psychology (1969)The Pricing of Options and Corporate Liabilities (1973)The Predictive Sample Reuse Method with Applications (1975)Using neural networks to forecast the S&P 100 implied volatility (1996)Improving the pricing of options: a neural network approach (1998)Black–Scholes versus artificial neural networks in pricing FTSE 100 options (2004)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Financial Modelling with Jump Processes (2003)Limit Theorems for Stochastic Processes (2003)Multivariate supOU processes (2010)Pricing and Hedging in Exponential Lévy Models: Review of Recent Results (2010)Option Pricing in Multivariate Stochastic Volatility Models of OU Type (2012)Stochastic Differential Equations: An Introduction with Applications. 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References

  • 1994A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks718 cited
  • 1949On Distributions of Certain Wiener Functionals692 cited
  • 2019Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations311 cited
  • 2010Analysis of Fourier Transform Valuation Formulas and Applications164 cited
  • 2020Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models153 cited
  • 2019Neural Networks for Option Pricing and Hedging: A Literature Review147 cited
  • 1993A neural network model for estimating option prices136 cited
  • 2019Pricing Options and Computing Implied Volatilities using Neural Networks135 cited
  • 2019A neural network-based framework for financial model calibration106 cited
  • 2015Large Deviations and Asymptotic Methods in Finance60 cited
  • 2013Computational Methods for Quantitative Finance: Finite Element Methods for Derivative Pricing52 cited
  • 2020Deep xVA Solver – A Neural Network Based Counterparty Credit Risk Management Framework49 cited
  • 2017Smoothing the payoff for efficient computation of Basket option prices34 cited
  • 2021Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models

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30 cited
  • 2020Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing30 cited
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