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q-fin.PR2026
Deep Least Squares Monte Carlo methods for the valuation of variable annuities with guarantees
Nicolas Langrené, Xiaolin Luo, Pavel V. Shevchenko +1
In general, the pricing of variable annuities with guarantees can be done by solving the corresponding optimal stochastic control problem if the contract withdrawal strategy is ass…
q-fin.PR2026
A deep learning approach for pricing convertible bonds with path-dependent reset and call provisions
Qinwen Zhu, Wen Chen, Nicolas Langrené
This paper develops a deep learning framework for pricing convertible bonds with path-dependent downward reset and issuer call provisions governed by rolling-window triggers. We fo…