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Deep learning with BSDE for pricing ELS
- Author(s)
- 배우미
- Alternative Author(s)
- Catherine Woomih Bae
- Advisor
- 민찬호
- Department
- 일반대학원 금융공학과
- Publisher
- The Graduate School, Ajou University
- Publication Year
- 2022-08
- Language
- eng
- Keyword
- Deep learning; ELS pricing; backward stochastic differential equation; barrier option; partial differential equation
- Alternative Abstract
- Option price is solved by partial differential equations with specific terminal conditions. In this case, the PDE can be reformulated to BSDE. Recently, deep learning technology has been applied to evaluate the value of options using the BSDE approach. This technique is used as a method of learning the slope of a specific variable to solve BSDE including terminal conditions. In this paper, it proposes a method to evaluate the value of ELS through deep learning using BSDE algorithms and Brownian Bridge probability.
- Fulltext
- Appears in Collections:
- Graduate School of Ajou University > Department of Financial Engineering > 3. Theses(Master)
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