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Ensemble deep neural network method for solving free boundary American style stochastic volatility models

  • University of Calgary
  • Louisiana Tech University

Research output: Contribution to journal › Article › peer-review

Original languageEnglish
Article number158
JournalApplied Intelligence
Volume55
Issue number2
DOIs
StatePublished - Jan 2025
Externally publishedYes

ASJC Scopus Subject Areas

  • Artificial Intelligence

Keywords

  • American stochastic volatility model
  • Early exercise boundary surface
  • Ensemble deep learning
  • Free boundary problem
  • PDE

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