ML-QuantSubscribe

SSRNML & AI Methods

American-style Contingent Claims Pricing

The study uses indifference pricing and dynamic convex risk measures to determine the pricing of American style contingent claims, using solutions of Backward Stochastic Differential Equations and deep learning.

Featured in No. 63 on 28 Aug 2024 · 2 days after release

Released
26 Aug 2024
First featured
No. 63 · 28 Aug 2024
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
6
Identifier
SSRN 4937659

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

    Type to search. Try rough volatility, LLM agents or FinGPT.

    ↑↓ move↵ openesc closeFull search page