2 papers
math.AP2023
Well-posedness of a Hamilton-Jacobi-Bellman equation in the strong coupling regime
Serena Della Corte, Richard C. Kraaij
We prove comparison principle for viscosity solutions of a Hamilton-Jacobi-Bellman equation in a strong coupling regime considering a stationary and a time-dependent version of the…
q-fin.CP2023
Machine learning for option pricing: an empirical investigation of network architectures
Serena Della Corte, Laurens Van Mieghem, Antonis Papapantoleon +1
We consider the supervised learning problem of learning the price of an option or the implied volatility given appropriate input data (model parameters) and corresponding output da…