SSRNML & AI Methods
American-style Contingent Claims Pricing
The study uses indifference pricing and dynamic convex risk measures to determine the pricing of American style contingent claims, using solutions of Backward Stochastic Differential Equations and deep learning.
Featured in No. 63 on 28 Aug 2024 · 2 days after release
- Released
- 26 Aug 2024
- First featured
- No. 63 · 28 Aug 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 6
- Identifier
- SSRN 4937659
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).