Accelerated American option pricing with deep neural networks

Article Properties
  • DOI (url)
    10.3934/qfe.2023011
  • Publication Date
    2023/01/01
  • Journal
    Quantitative Finance and Economics
  • Indian UGC (journal)
  • Refrences
    67
  • David Anderson Department of Banking and Finance, University of Zurich, Zurich, Switzerland
  • Urban Ulrych Department of Banking and Finance, University of Zurich, Zurich, SwitzerlandCollege of Management of Technology, École Polytechnique Fédérale de Lausanne, Lausanne, SwitzerlandSwiss Finance Institute, Geneva, Switzerland
Abstract
Cite
Anderson, David, and Urban Ulrych. “Accelerated American Option Pricing With Deep Neural Networks”. Quantitative Finance and Economics, vol. 7, no. 2, 2023, pp. 207-28, https://doi.org/10.3934/qfe.2023011.
Anderson, D., & Ulrych, U. (2023). Accelerated American option pricing with deep neural networks. Quantitative Finance and Economics, 7(2), 207-228. https://doi.org/10.3934/qfe.2023011
Anderson, David, and Urban Ulrych. “Accelerated American Option Pricing With Deep Neural Networks”. Quantitative Finance and Economics 7, no. 2 (2023): 207-28. https://doi.org/10.3934/qfe.2023011.
Anderson D, Ulrych U. Accelerated American option pricing with deep neural networks. Quantitative Finance and Economics. 2023;7(2):207-28.
Journal Category
Social Sciences
Finance
Refrences
Title Journal Journal Categories Citations Publication Date
Derivatives Pricing via Machine Learning SSRN Electronic Journal 5 2019
10.1109/IJCNN.1989.118640
Machine learning for quantitative finance: fast derivative pricing, hedging and fitting Quantitative Finance
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Science: Mathematics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 64 2018
10.1002/0470870230
10.21314/JCF.2020.390