Efficient Pricing and Hedging of High Dimensional American Options Using Recurrent Networks
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- Jiefei Yang & Guanglian Li, 2024. "A deep primal-dual BSDE method for optimal stopping problems," Papers 2409.06937, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-BIG-2023-02-27 (Big Data)
- NEP-CMP-2023-02-27 (Computational Economics)
- NEP-NET-2023-02-27 (Network Economics)
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