This paper proposes a new deep-learning-based algorithm for high-dimensional Bermudan option pricing. To the best of our knowledge, this is the first study of the arbitrary-order discretization scheme ...
This paper utilizes the saddlepoint approximation as an efficient tool to estimate the portfolio credit loss distribution in the Vasicek model. Value-atrisk (VaR), the risk measure chosen in the Basel ...
The finite element method is a popular technique for approximating weak solutions of PDE, particularly in the presence of geometric or structural features. Typically a physical domain is tessellated ( ...
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