most citedDeep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimensions

16 citations · 16 across the 1 of their papers we have counts for

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1 paper

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…