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KrigHedge: GP Surrogates for Delta Hedging
We investigate a machine learning approach to option Greeks approximatio...
10/16/2020 ∙ by Mike Ludkovski, et al. ∙
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Applications of the Deep Galerkin Method to Solving Partial Integro-Differential and Hamilton-Jacobi-Bellman Equations
We extend the Deep Galerkin Method (DGM) introduced in Sirignano and Spi...
11/30/2019 ∙ by Ali Al-Aradi, et al. ∙
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