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Delta force: option pricing with differential machine learning

Authors :
Magnus Grønnegaard Frandsen
Tobias Cramer Pedersen
Rolf Poulsen
Source :
Digital Finance. 4:1-15
Publication Year :
2021
Publisher :
Springer Science and Business Media LLC, 2021.

Abstract

We show how and why to use a financially meaningful differential regularization method when pricing options by Monte Carlo simulation, be that in polynomial regression or neural network context.

Details

ISSN :
25246186 and 25246984
Volume :
4
Database :
OpenAIRE
Journal :
Digital Finance
Accession number :
edsair.doi...........6a97c2aed58730de4022ca56e8e0ffd7