31 citations · 119 across the 20 of their papers we have counts for
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q-fin.CP2018★ 6 cited
Unbiased deep solvers for linear parametric PDEs
Marc Sabate Vidales, David Siska, Lukasz Szpruch
We develop several deep learning algorithms for approximating families of parametric PDE solutions. The proposed algorithms approximate solutions together with their gradients, whi…
q-fin.CP2011
Error estimates for finite difference approximations of American put option price
David Šiška
Finite difference approximations to multi-asset American put option price are considered. The assets are modelled as a multi-dimensional diffusion process with variable drift and v…