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Efficient approximation of high-dimensional functions with deep neural networks
(2019)SAM Research ReportReport -
Solving high-dimensional optimal stopping problems using deep learning
(2019)SAM Research ReportNowadays many financial derivatives which are traded on stock and futures exchanges, such as American or Bermudan options, are of early exercise type. Often the pricing of early exercise options gives rise to high-dimensional optimal stopping problems, since the dimension corresponds to the number of underlyings in the associated hedging portfolio. High-dimensional optimal stopping problems are, however, notoriously difficult to solve due ...Report -
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