Mathematics of Differential Machine Learning in Derivative Pricing and Hedging: Choice of Basis
Table of Links Abstract Keywords and 2. Introduction Set up From Classical Results into Differential Machine Learning 4.1 Risk Neutral Valuation Approach 4.2 Differential Machine learning: building the loss function Example: Digital Options Choice of Basis 6.1 Limitations of the Fixed-basis 6.2 Parametric Basis: Neural Networks Simulation-European Call Option 7.1 Black-Scholes 7.2 Hedging Experiment 7.3 … Read more