97 citations · 329 across the 13 of their papers we have counts for
4 papers · 1 filter
Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility
Kaustav Das, Nicolas Langrené
We consider closed-form approximations for European put option prices within the Heston and GARCH diffusion stochastic volatility models with time-dependent parameters. Our methodo…
Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications
Achref Bachouch, Côme Huré, Nicolas Langrené +1
This paper presents several numerical applications of deep learning-based algorithms that have been introduced in [HPBL18]. Numerical and comparative tests using TensorFlow illustr…
Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis
Côme Huré, Huyên Pham, Achref Bachouch +1
This paper develops algorithms for high-dimensional stochastic control problems based on deep learning and dynamic programming. Unlike classical approximate dynamic programming app…
Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization
Rongju Zhang, Nicolas Langrené, Yu Tian +3
The least squares Monte Carlo algorithm has become popular for solving portfolio optimization problems. A simple approach is to approximate the value functions on a discrete grid o…