Delta Force: Option Pricing with Differential Machine Learning
Research output: Contribution to journal › Journal article › Research › peer-review
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Delta Force : Option Pricing with Differential Machine Learning. / Frandsen, Magnus Grønnegaard; Pedersen, Tobias Cramer; Poulsen, Rolf.
In: Digital Finance, Vol. 4, 2022, p. 1-15.Research output: Contribution to journal › Journal article › Research › peer-review
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TY - JOUR
T1 - Delta Force
T2 - Option Pricing with Differential Machine Learning
AU - Frandsen, Magnus Grønnegaard
AU - Pedersen, Tobias Cramer
AU - Poulsen, Rolf
PY - 2022
Y1 - 2022
N2 - We show how and why to use a financially meaningful differential regularization method when pricing options by Monte Carlo simulation, be that in polynomial regression or neural network context.
AB - We show how and why to use a financially meaningful differential regularization method when pricing options by Monte Carlo simulation, be that in polynomial regression or neural network context.
U2 - 10.1007/s42521-021-00041-7
DO - 10.1007/s42521-021-00041-7
M3 - Journal article
VL - 4
SP - 1
EP - 15
JO - Digital Finance
JF - Digital Finance
SN - 2524-6186
ER -
ID: 274850136