Neural networks for option pricing and hedging: a literature review

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Neural networks for option pricing and hedging: a literature review

13 November 2019

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Papers citing "Neural networks for option pricing and hedging: a literature review"

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Title
Deep Hedging: Learning to Simulate Equity Option Markets Magnus Wiese Lianjun Bai Ben Wood Hans Buehler GAN 79 69 0 05 Nov 2019
Quant GANs: Deep Generation of Financial Time Series Magnus Wiese R. Knobloch R. Korn Peter Kretschmer GAN AI4TS AIFin 72 279 0 15 Jul 2019
Deep splitting method for parabolic PDEs C. Beck S. Becker Patrick Cheridito Arnulf Jentzen Ariel Neufeld 64 127 0 08 Jul 2019
Deep Smoothing of the Implied Volatility Surface Damien Ackerer Natasa Tagasovska Thibault Vatter 67 35 0 12 Jun 2019
A neural network-based framework for financial model calibration Shuaiqiang Liu Anastasia Borovykh L. Grzelak C. Oosterlee 74 103 0 23 Apr 2019
Supervised Deep Neural Networks (DNNs) for Pricing/Calibration of Vanilla/Exotic Options Under Various Different Processes Ali Hirsa T. Karatas Amir Oskoui 144 26 0 15 Feb 2019
Deep backward schemes for high-dimensional nonlinear PDEs Côme Huré H. Pham X. Warin AI4CE 57 98 0 05 Feb 2019
Pricing options and computing implied volatilities using neural networks Shuaiqiang Liu C. Oosterlee S. Bohté 49 123 0 25 Jan 2019
Deep calibration of rough stochastic volatility models Christian Bayer Benjamin Stemper 33 71 0 08 Oct 2018
Machine Learning for semi linear PDEs Quentin Chan-Wai-Nam Joseph Mikael X. Warin ODL 73 113 0 20 Sep 2018
Deeply Learning Derivatives Ryan Ferguson Andrew Green 59 43 0 06 Sep 2018
QLBS: Q-Learner in the Black-Scholes(-Merton) Worlds I. Halperin OffRL 57 84 0 13 Dec 2017
DGM: A deep learning algorithm for solving partial differential equations Justin A. Sirignano K. Spiliopoulos AI4CE 91 2,066 0 24 Aug 2017
Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations Weinan E Jiequn Han Arnulf Jentzen 125 798 0 15 Jun 2017
Gated Neural Networks for Option Pricing: Rationality by Design Yongxin Yang Yu Zheng Timothy M. Hospedales 28 39 0 14 Sep 2016
Option Pricing Using Bayesian Neural Networks M. M. Pires T. Marwala 359 5 0 11 May 2007