Deep Learning of Transition Probability Densities for Stochastic Asset Models with Applications in Option Pricing.
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| Title: | Deep Learning of Transition Probability Densities for Stochastic Asset Models with Applications in Option Pricing. |
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| Authors: | Su, Haozhe1 (AUTHOR) haozhe.su@ntu.ac.uk, Tretyakov, M. V.2 (AUTHOR) michael.tretyakov@nottingham.ac.uk, Newton, David P.3 (AUTHOR) dpn25@bath.ac.uk |
| Source: | Management Science (INFORMS). Apr2025, Vol. 71 Issue 4, p2922-2952. 31p. |
| Database: | Business Source Ultimate |
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| ISSN: | 00251909 |
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| DOI: | 10.1287/mnsc.2022.01448 |
