Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
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DOI: 10.1080/14697688.2023.2167666
Abstract: We propose a deep recurrent neural network (RNN) framework for computing prices and deltas of American options in high dimensions. Our proposed framework uses two deep RNNs, where one network learns the continuation price and… read more here.
Keywords: efficient pricing; pricing hedging; american options; framework ... See more keywords