13 citations · 30 across the 13 of their papers we have counts for
Showing q-fin.CPShow all
3 papers · 1 filter
q-fin.CP2022★ 1 cited
Solving barrier options under stochastic volatility using deep learning
Weilong Fu, Ali Hirsa
We develop an unsupervised deep learning method to solve the barrier options under the Bergomi model. The neural networks serve as the approximate option surfaces and are trained t…
q-fin.CP2020★ 13 cited
An unsupervised deep learning approach in solving partial integro-differential equations
Ali Hirsa, Weilong Fu
We investigate solving partial integro-differential equations (PIDEs) using unsupervised deep learning in this paper. To price options, assuming underlying processes follow Levy pr…
q-fin.CP2019★ 2 cited
A fast method for pricing American options under the variance gamma model
Weilong Fu, Ali Hirsa
We investigate methods for pricing American options under the variance gamma model. The variance gamma process is a pure jump process which is constructed by replacing the calendar…