activity
20212026
most citedThe One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions

2 citations · 2 across the 5 of their papers we have counts for

collaborators
Showing q-fin.CPShow all

1 paper · 1 filter

q-fin.CP2025

A deep BSDE approach for the simultaneous pricing and delta-gamma hedging of large portfolios consisting of high-dimensional multi-asset Bermudan options

Balint Negyesi, Cornelis W. Oosterlee

A deep BSDE approach is presented for the pricing and delta-gamma hedging of high-dimensional Bermudan options, with applications in portfolio risk management. Large portfolios of…