57 citations · 266 across the 32 of their papers we have counts for
3 papers · 1 filter
Leveraging Machine Learning for High-Dimensional Option Pricing within the Uncertain Volatility Model
Ludovic Goudenege, Andrea Molent, Antonino Zanette
This paper explores the application of Machine Learning techniques for pricing high-dimensional options within the framework of the Uncertain Volatility Model (UVM). The UVM is a r…
Numerical approximation of the stochastic heat equation with a distributional reaction term
Ludovic Goudenège, El Mehdi Haress, Alexandre Richard
We study the numerical approximation of the stochastic heat equation with a distributional reaction term. Under a condition on the Besov regularity of the reaction term, it was pro…
Enhancing Valuation of Variable Annuities in Lévy Models with Stochastic Interest Rate
Ludovic Goudenège, Andrea Molent, Xiao Wei +1
This paper extends the valuation and optimal surrender framework for variable annuities with guaranteed minimum benefits in a Lévy equity market environment by incorporating a stoc…