most citedDeep Learning-Based Least Square Forward-Backward Stochastic Differential Equation Solver for High-Dimensional Derivative Pricing

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q-fin.CP2019★ 2 cited

Deep Learning-Based Least Square Forward-Backward Stochastic Differential Equation Solver for High-Dimensional Derivative Pricing

Jian Liang, Zhe Xu, Peter Li

We propose a new forward-backward stochastic differential equation solver for high-dimensional derivatives pricing problems by combining deep learning solver with least square regr…