European High-Dimensional Option Pricing using Backward Stochastic Differential Equation-Based Convolutional Neural Network.
Aldi Eka Wahyu WidiantoEndah Rokhmati Merdika PutriImam MukhlashMohammad IqbalPublished in: ICoMS (2023)
Keyphrases
- stochastic differential equations
- option pricing
- convolutional neural network
- high dimensional
- maximum a posteriori estimation
- brownian motion
- face detection
- stock price
- decision analysis
- real option
- additive gaussian noise
- neural network
- fractional brownian motion
- feature space
- black scholes model
- stochastic process
- similarity search
- optimal control
- heavy traffic
- multi criteria
- differential equations
- multi attribute
- non stationary
- decision makers
- object detection
- dynamic programming