From the 1 of 5 linked papers with an AI index.
5 papers
An Analytic COS Method for Compound Option Valuation
Zhipeng Huang, Cornelis W. Oosterlee
We develop an analytic Fourier cosine (COS) method for the valuation of compound options. By deriving closed-form expressions for the cosine coefficients at all compound stages, th…
Convergence of the Markovian Iteration for Coupled FBSDEs via a Differentiation Approach
Zhipeng Huang, Cornelis W. Oosterlee
The paper presents a new differentiation-based technique to ensure convergence of a Markovian iteration method for solving fully coupled forward-backward stochastic differential eq…
The Compound BSDE Method: A Fully Forward Method for Option Pricing and Optimal Stopping Problems in Finance
Zhipeng Huang, Cornelis W. Oosterlee
We propose the Compound BSDE method, a fully forward, deep-learning-based approach for solving a broad class of problems in financial mathematics, including optimal stopping. The m…
Generalized convergence of the deep BSDE method: a step towards fully-coupled FBSDEs and applications in stochastic control
Balint Negyesi, Zhipeng Huang, Cornelis W. Oosterlee
We are concerned with high-dimensional coupled FBSDE systems approximated by the deep BSDE method of Han et al. (2018). It was shown by Han and Long (2020) that the errors induced…
Convergence of the deep BSDE method for stochastic control problems formulated through the stochastic maximum principle
Zhipeng Huang, Balint Negyesi, Cornelis W. Oosterlee
It is well-known that decision-making problems from stochastic control can be formulated by means of a forward-backward stochastic differential equation (FBSDE). Recently, the auth…