Delta Force: Option Pricing with Differential Machine Learning

Publikation: Bidrag til tidsskriftTidsskriftartikelfagfællebedømt

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.
OriginalsprogEngelsk
TidsskriftDigital Finance
Vol/bind4
Sider (fra-til)1-15
ISSN2524-6186
DOI
StatusUdgivet - 2022

ID: 274850136