A fast method for pricing American options under the variance gamma model
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Cited by:
- Ali Hirsa & Tugce Karatas & Amir Oskoui, 2019. "Supervised Deep Neural Networks (DNNs) for Pricing/Calibration of Vanilla/Exotic Options Under Various Different Processes," Papers 1902.05810, arXiv.org.
- Ali Hirsa & Weilong Fu, 2020. "An unsupervised deep learning approach in solving partial integro-differential equations," Papers 2006.15012, arXiv.org, revised Dec 2020.
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This paper has been announced in the following NEP Reports:- NEP-BIG-2019-03-25 (Big Data)
- NEP-CMP-2019-03-25 (Computational Economics)
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