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Option Pricing by Neural Stochastic Differential Equations: A Simulation-Optimization Approach.

Shoudao WangL. Jeff Hong
Published in: WSC (2021)
Keyphrases
  • option pricing
  • stochastic differential equations
  • network architecture
  • decision analysis
  • maximum a posteriori estimation
  • stock price
  • additive gaussian noise
  • stock market
  • constrained optimization