A Multistep Scheme to Solve Backward Stochastic Differential Equations for Option Pricing on GPUs.

Lorenc Kapllani Long Teng Matthias Ehrhardt

Published in: HPC (2019)

Keyphrases

stochastic differential equations
option pricing
maximum a posteriori estimation
brownian motion
fractional brownian motion
stock price
additive gaussian noise
decision making
reinforcement learning
dynamic programming
non stationary
optimal control
long range
stochastic process