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most citedPricing options on flow forwards by neural networks in Hilbert space

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math.ST2016

Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations

Fred Espen Benth, Heidar Eyjolfsson

We propose a finite difference scheme to simulate solutions to a certain type of hyperbolic stochastic partial differential equation (HSPDE). These solutions can in turn estimate s…