Lookback option pricing under the double Heston model using a deep learning algorithm

To price floating strike lookback options, we obtain a partial differential equation (PDE) according to the double Heston model. To solve the PDE, we employ a deep learning algorithm called the deep Galerkin method (DGM), which is well-suited for high-dimensional PDEs. Finally, we compare the obtain...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Computational & applied mathematics 2022-12, Vol.41 (8), Article 378
Hauptverfasser:	Motameni, Mahsa, Mehrdoust, Farshid, Najafi, Ali Reza
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Applications of Mathematics Applied physics Computational mathematics Computational Mathematics and Numerical Analysis Deep learning Galerkin method Machine learning Mathematical Applications in Computer Science Mathematical Applications in the Physical Sciences Mathematics Mathematics and Statistics Partial differential equations
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!