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20192026
most citedPricing options and computing implied volatilities using neural networks

114 citations · 185 across the 11 of their papers we have counts for

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math.NA2023★ 1 cited

GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations

Shuaiqiang Liu, Graziana Colonna, Lech A. Grzelak +1

Monte Carlo simulation is widely used to numerically solve stochastic differential equations. Although the method is flexible and easy to implement, it may be slow to converge. Mor…

math.NA2020★ 2 cited

The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations

Shuaiqiang Liu, Lech A. Grzelak, Cornelis W. Oosterlee

We propose an accurate data-driven numerical scheme to solve Stochastic Differential Equations (SDEs), by taking large time steps. The SDE discretization is built up by means of a…