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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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Detalles Bibliográficos
Autores principales:	Negyesi, Balint, Oosterlee, Cornelis W.
Formato:	Preprint
Publicado:	2025
Materias:	Computational Finance Risk Management 91G20, 68T07, 91G60, 65C30
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

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