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q-fin.CP2023★ 1 cited
Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks
Ivan Guo, Nicolas Langrené, Jiahao Wu
In this paper, we introduce two novel methods to solve the American-style option pricing problem and its dual form at the same time using neural networks. Without applying nested M…
q-fin.CP2016
Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo
Ivan Guo, Gregoire Loeper
Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the last decade. The pricing of VIX derivatives involves evaluating…