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Estimating risks of European option books using neural stochastic differential equation market models

Authors :
Samuel N. Cohen
Christoph Reisinger
Sheng Wang
Source :
Journal of Computational Finance.
Publication Year :
2023
Publisher :
Infopro Digital Services Limited, 2023.

Subjects

Subjects :
Applied Mathematics
Finance
Computer Science Applications

Details

ISSN :
17552850 and 14601559
Database :
OpenAIRE
Journal :
Journal of Computational Finance
Accession number :
edsair.doi...........86bb6286cb9be7c63510f05ef45d1834
Full Text :
https://doi.org/10.21314/jcf.2022.028
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