Exotic Derivatives and Deep Learning
This thesis investigates the use of Artificial Neural Networks (ANNs)for calculating present values, Value-at-Risk and Expected Shortfall ofoptions, both European call options and more complex rainbow options. Theperformance of the ANN is evaluated by comparing it to a second-order Taylorpolynomial...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
KTH, Matematisk statistik
2018
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-228476 |