Pricing Barrier Options with DeepBSDEs.

@article{Ganesan2020PricingBO,
  title={Pricing Barrier Options with DeepBSDEs.},
  author={N. Ganesan and Yajie Yu and B. Hientzsch},
  journal={arXiv: Computational Finance},
  year={2020}
}
  • N. Ganesan, Yajie Yu, B. Hientzsch
  • Published 2020
  • Mathematics, Economics
  • arXiv: Computational Finance
  • This paper presents a novel and direct approach to price boundary and final-value problems, corresponding to barrier options, using forward deep learning to solve forward-backward stochastic differential equations (FBSDEs). Barrier instruments are instruments that expire or transform into another instrument if a barrier condition is satisfied before maturity; otherwise they perform like the instrument without the barrier condition. In the PDE formulation, this corresponds to adding boundary… CONTINUE READING

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