13 citations · 30 across the 13 of their papers we have counts for
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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…
q-fin.PR2019★ 4 cited
Supervised Deep Neural Networks (DNNs) for Pricing/Calibration of Vanilla/Exotic Options Under Various Different Processes
Ali Hirsa, Tugce Karatas, Amir Oskoui
We apply supervised deep neural networks (DNNs) for pricing and calibration of both vanilla and exotic options under both diffusion and pure jump processes with and without stochas…