Option pricing mechanisms driven by backward stochastic differential equations
Abstract This study investigates an option pricing method called g-pricing based on backward stochastic differential equations combined with deep learning. We adopted a data-driven approach to find a market-appropriate generator of the backward stochastic differential equation, which is achieved by...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2025-04-01
|
| Series: | Financial Innovation |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s40854-024-00714-3 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|