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- W2913146076 abstract "We apply supervised deep neural networks (DNNs) for pricing and calibration of both vanilla and exotic options under both diffusion and pure jump processes with and without stochastic volatility. We train our neural network models under different number of layers, neurons per layer, and various different activation functions in order to find which combinations work better empirically. For training, we consider various different loss functions and optimization routines. We demonstrate that deep neural networks exponentially expedite option pricing compared to commonly used option pricing methods which consequently make calibration and parameter estimation super fast." @default.
- W2913146076 created "2019-02-21" @default.
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- W2913146076 date "2019-02-15" @default.
- W2913146076 modified "2023-09-27" @default.
- W2913146076 title "Supervised Deep Neural Networks (DNNs) for Pricing/Calibration of Vanilla/Exotic Options Under Various Different Processes." @default.
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