1 citations · 3 across the 8 of their papers we have counts for
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math.NA2020
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…
q-fin.CP2020★ 1 cited
On Calibration Neural Networks for extracting implied information from American options
Shuaiqiang Liu, Álvaro Leitao, Anastasia Borovykh +1
Extracting implied information, like volatility and/or dividend, from observed option prices is a challenging task when dealing with American options, because of the computational…