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Deep learning-based methods for deriving price bounds of American-style options and solving reflected BSDEs

thesis
posted on 2024-06-04, 01:19 authored by JIAHAO WU
This thesis is dedicated to mathematically evaluate a type of financial derivatives whose value depends on an optimal stopping time. We propose numerical methods based on the least squares Monte Carlo to solve this problem with the application of neural networks.

History

Campus location

Australia

Principal supervisor

Ivan Guo

Additional supervisor 1

Nicolas Langrené

Year of Award

2024

Department, School or Centre

Mathematics

Course

Doctor of Philosophy

Degree Type

DOCTORATE

Faculty

Faculty of Science

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