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Deep learning of transition probability densities for stochastic asset

Publication: Deep learning of transition probability densities for stochastic asset models with applications in option pricing. Published May 21, 2021.

arxiv.orgPublished May 21, 2021
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Overview

Publication: Deep learning of transition probability densities for stochastic asset models with applications in option pricing. Published May 21, 2021.

Publication information

Publication title
Deep learning of transition probability densities for stochastic asset models with applications in option pricing
Authors
Haozhe Su, M. V. Tretyakov, David P. Newton
Published
May 21, 2021
Last publication revision
Jul 16, 2023
Venue / journal
Management Science 2024
Subject areas
q-fin.CP, math.NA, math.PR, q-fin.PR
DOI
10.1287/mnsc.2022.01448 ↗
Publication source
arxiv.org · abs/2105.10467v2 ↗

Source: arXiv API · observed Oct 11, 2026.

Source links & provenance

https://arxiv.org/abs/2105.10467 ↗

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