Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks
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- Beatriz Salvador & Cornelis W. Oosterlee & Remco van der Meer, 2020. "Financial option valuation by unsupervised learning with artificial neural networks," Papers 2005.12059, arXiv.org.
References listed on IDEAS
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- Arregui, Iñigo & Salvador, Beatriz & Vázquez, Carlos, 2017. "PDE models and numerical methods for total value adjustment in European and American options with counterparty risk," Applied Mathematics and Computation, Elsevier, vol. 308(C), pages 31-53.
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Keywords
(non)linear PDEs; Black–Scholes model; artificial neural network; loss function; multi-asset options;All these keywords.
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