This study trains deep neural networks to approximate the present value of an autocallable, a highly path-dependent and customizable financial derivative in the
We study the performance of deep learning models on pricing options using inputs Option contracts are a financial derivative that represents the right,
Pricing and hedging derivatives in the market are crucial problems in the financial Deep hedging is an unsupervised learning-based approach to determine
Assume portfolio of 10,000 exotic options Scenarios and different risk views are generated to understand market changes on portfolio
27 août 2019 · More applications in finance are discussed in the Appendices Keywords Machine Learning, Regression Analysis, Jump-Diffusion, Derivatives
Options occupy a certain position in the derivatives market Researchers, speculators, and other traders all hope to get a reasonable price for each option
Why consider Deep Neural Networks for Financial Derivatives? Bachelier ( 1900): Pricing options assuming the underlying asset is a Brownian Motion
Scholes model, we can obtain unique option price and hedging strategy by these, some machine learning based model-free methods are rising in pricing and