Delta Force: Option Pricing with Differential Machine Learning
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
We show how and why to use a financially meaningful differential regularization method when pricing options by Monte Carlo simulation, be that in polynomial regression or neural network context.
Originalsprog | Engelsk |
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Tidsskrift | Digital Finance |
Vol/bind | 4 |
Sider (fra-til) | 1-15 |
ISSN | 2524-6186 |
DOI | |
Status | Udgivet - 2022 |
ID: 274850136