A deep BSDE approach for the simultaneous pricing and delta-gamma hedging of large portfolios consisting of high-dimensional multi-asset Bermudan options

Fuente: arXiv

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Bibliographic Details
Main Authors:	Negyesi, Balint, Oosterlee, Cornelis W.
Format:	Preprint
Published:	2025
Subjects:	Computational Finance Risk Management 91G20, 68T07, 91G60, 65C30
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2502.11706