Deep learning exotic derivatives
Monte Carlo methods in derivative pricing are computationally expensive, in particular for evaluating models partial derivatives with regard to inputs. This research proposes the use of deep learning to approximate such valuation models for highly exotic derivatives, using automatic differentiation...
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| Format: | Others |
| Language: | English |
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Uppsala universitet, Avdelningen för systemteknik
2021
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-430410 |