Importance sampling for option pricing with feedforward neural networks
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DOI: 10.1007/s00780-024-00549-x
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More about this item
Keywords
Cameron–Martin space; Doléans–Dade exponential; Feedforward neural networks; Importance sampling; Universal approximation;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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