From the 2 of 11 linked papers with an AI index.
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A Damped SWIFT Method for European Option Pricing: Coefficients Decay, Truncation, and Error Analysis
Davide Trevisani, José Germán López Salas, Chiheb Ben Hammouda +1
We introduce a damped variant of the Shannon Wavelet Inverse Fourier Technique (SWIFT) for pricing European options when the characteristic function of the underlying model is avai…
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 deep multi-FBSDE method: a robust deep learning method for coupled FBSDEs
Kristoffer Andersson, Adam Andersson, Cornelis W. Oosterlee
We introduce the deep multi-FBSDE method for robust approximation of coupled forward-backward stochastic differential equations (FBSDEs), focusing on cases where the deep BSDE meth…
A numerical Fourier cosine expansion method with higher order Taylor schemes for fully coupled FBSDEs
Balint Negyesi, Cornelis W. Oosterlee
A higher-order numerical method is presented for scalar valued, coupled forward-backward stochastic differential equations. Unlike most classical references, the forward component…
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…
Parallel-in-Time Iterative Methods for Pricing American Options
Xian-Ming Gu, Jun Liu, Cornelis W. Oosterlee
For pricing American options, %after suitable discretization in space and time, a sequence of discrete linear complementarity problems (LCPs) or equivalently Hamilton-Jacobi-Bellma…