Delta Force: Option Pricing with Differential Machine Learning
Research output: Contribution to journal › Journal article › Research › peer-review
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.
Original language | English |
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Journal | Digital Finance |
Volume | 4 |
Pages (from-to) | 1-15 |
ISSN | 2524-6186 |
DOIs | |
Publication status | Published - 2022 |
ID: 274850136