Sökning: "Deep BSDE method"

Hittade 2 uppsatser innehållade orden Deep BSDE method.

  1. 1. Exploring backward stochastic differential equations and deep learning for high-dimensional partial differential equations and European option pricing

    Kandidat-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Författare :Jonathan Leung; [2023]
    Nyckelord :Backward Stochastic Differential Equations; Semilinear Parabolic Partial Differential Equations; Artificial Neural Networks; Nonlinear Option Pricing; Black-Scholes; Nonlinear Feynman-Kac; Euler-Maruyama;

    Sammanfattning : Many phenomena in our world can be described as differential equations in high dimensions. However, they are notoriously challenging to solve numerically due to the exponential growth in computational cost with increasing dimensions. LÄS MER

  3. 2. Pricing and Hedging of Financial Instruments using Forward–Backward Stochastic Differential Equations : Call Spread Options with Different Interest Rates for Borrowing and Lending

    Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Författare :Abigail Hailu Berta; [2022]
    Nyckelord :Backward stochastic differential equations BSDEs ; Markovian BSDEs; Least square Monte Carlo method; Deep BSDE method; Nonlinear option pricing and hedging problems; Pricing and hedging in high dimensions.;

    Sammanfattning : In this project, we are aiming to solve option pricing and hedging problems numerically via Backward Stochastic Differential Equations (BSDEs). We use Markovian BSDEs to formulate nonlinear pricing and hedging problems of both European and American option types. LÄS MER