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We develop a novel deep learning approach for pricing European basket options written on assets that follow jump-diffusion dynamics.
On the distribution of points in a cube and the approximate evaluation of integrals
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Option pricing when underlying stock returns are discontinuous
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L. Ambrosio · 1995
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D. S. Bates · 1996
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The variational formulation of the Fokker–Planck equation
R. Jordan, D. Kinderlehrer, and F. Otto · 1998
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Artificial neural networks for solving ordinary and partial differential equations
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Scrambling Sobol’ and Niederreiter–Xing points
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Implicit-explicit multistep methods for quasilinear parabolic equations
G. Akrivis, M. Crouzeix, and C. Makridakis · 1999
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Option valuation using the fast Fourier transform
P. Carr and D. Madan · 1999
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Transform analysis and asset pricing for affine jump-diffusions
D. Duffie, J. Pan, and K. Singleton · 2000
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A jump-diffusion model for option pricing
S. G. Kou · 2002
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Jump-diffusion models
W. J. Runggaldier · 2003
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H.-J. Bungartz and M. Griebel · 2004
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R. Cont and P. Tankov · 2004
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A novel pricing method for European options based on Fourier-cosine series expansions
F. Fang and C. W. Oosterlee · 2008
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Analysis of Fourier transform valuation formulas and applications
E. Eberlein, K. Glau, and A. Papapantoleon · 2010
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Option pricing in Hilbert space-valued jump-diffusion models using partial integro-differential equations
DGM: A deep learning algorithm for solving partial differential equations
J. Sirignano and K. Spiliopoulos · 2018
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E. Eberlein and J. Kallsen · 2019
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Deep Nitsche method: Deep Ritz method with essential boundary conditions
Y. Liao and P. Ming · 2019
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Physics-informed neural networks: a deep learning framework for solving forward and inverse problems involving nonlinear partial differential equations
M. Raissi, P. Perdikaris, and G. E. Karniadakis · 2019
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DelftBlue Supercomputer (Phase 1)
Delft High Performance Computing Centre (DHPC) · 2022
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P. Hepperger · 2010
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Numerical analysis of additive, Lévy and Feller processes with applications to option pricing
O. Reichmann and C. Schwab · 2010
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An efficient sparse grid Galerkin approach for the numerical valuation of basket options under Kou’s jump-diffusion model
M. Griebel and A. Hullmann · 2013
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The deep Ritz method: A deep learning-based numerical algorithm for solving variational problems
W. E and B. Yu · 2018
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J. Han, A. Jentzen, and W. E · 2018
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A. Gnoatto, M. Patacca, and A. Picarelli · 2022
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Optimal damping with hierarchical adaptive quadrature for efficient Fourier pricing of multi-asset options in Lévy models
C. Bayer, C. Ben Hammouda, A. Papapantoleon, M. Samet, and R. Tempone · 2023
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Discrete gradient flow approximations of high dimensional evolution partial differential equations via deep neural networks
E. H. Georgoulis, M. Loulakis, and A. Tsiourvas · 2023
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The deep minimizing movement scheme
M. S. Park, C. Kim, H. Son, and H. J. Hwang · 2023
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Quasi-Monte Carlo for efficient Fourier pricing of multi-asset options
C. Bayer, C. Ben Hammouda, A. Papapantoleon, M. Samet, and R. Tempone · 2024
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