16 citations · 28 across the 2 of their papers we have counts for
2 papers
q-fin.CP2019★ 16 cited
Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimensions
Yangang Chen, Justin W. L. Wan
We propose a deep neural network framework for computing prices and deltas of American options in high dimensions. The architecture of the framework is a sequence of neural network…
math.NA2016★ 12 cited
Monotone Mixed Finite Difference Scheme for Monge-Ampère Equation
Yangang Chen, Justin W. L. Wan, Jessey Lin
In this paper, we propose a monotone mixed finite difference scheme for solving the two-dimensional Monge-Ampère equation. In order to accomplish this, we convert the Monge-Ampère…