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Option pricing in the Heston model with physics inspired neural networks
8 references·0 citing·34 second hop
Option pricing in the Heston model with physics inspired neural networks (2024)Option pricing in the Heston model with p…Meshless methods for American option pricing through Physics-Informed Neural Networks (2023)Meshless methods for American…Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations (2019)Machine Learning Approximatio…Fair valuation of insurance liability cash-flow streams in continuous time: Theory (2019)Fair valuation of insurance l…Deep hedging (2019)Deep hedgingA neural network approach to efficient valuation of large portfolios of variable annuities (2016)A neural network approach to …Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…Stochastic Differential Equations and Applications (1976)Stochastic Differential Equat…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Principles of geographical information systems (1998)Options, Futures and Other Derivatives (2003)“Options, Futures, and Other Derivatives” (2016)An Empirical Comparison of Some Experimental Designs for the Valuation of Large Variable Annuity Portfolios (2016)Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets (2017)A Data Driven Neural Network Approach to Optimal Asset Allocation for Target Based Defined Contribution Pension Plans (2018)Stochastic Differential Equations: An Introduction with Applications. (1987)Adapted solution of a backward stochastic differential equation (1990)Numerical solution of stochastic differential equations (2016)Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High Dimensional BSDEs (2017)Pricing Options and Computing Implied Volatilities using Neural Networks (2019)Convergence of the deep BSDE method for coupled FBSDEs (2020)Backward Stochastic Differential Equations in Finance (1997)Modern Actuarial Risk Theory (2008)European Option Pricing with Transaction Costs (1993)A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks (1994)Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (2006)Machine Learning for Financial Risk Management: A Survey (2020)Quant GANs: deep generation of financial time series (2020)Recent advances in reinforcement learning in finance (2023)Prices of State-Contingent Claims Implicit in Option Prices (1978)From Traditional to Computationally Efficient Scientific Computing Algorithms in Option Pricing: Current Progresses with Future Directions (2025)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)An Exact Bond Option Formula (1989)A pricing method for options based on average asset values (1990)Does Option Compensation Increase Managerial Risk Appetite? (2000)Range‐Based Estimation of Stochastic Volatility Models (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)
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References

  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 1998Brownian Motion and Stochastic Calculus2,043 cited
  • 1976Stochastic Differential Equations and Applications1,378 cited
  • 2019Deep hedging332 cited
  • 2019Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations311 cited
  • 2016A neural network approach to efficient valuation of large portfolios of variable annuities51 cited
  • 2023Meshless methods for American option pricing through Physics-Informed Neural Networks34 cited
  • 2019Fair valuation of insurance liability cash-flow streams in continuous time: Theory25 cited

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