most citedMarkovian approximation of the rough Bergomi model for Monte Carlo option pricing

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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…