Delta force: option pricing with differential machine learning

Magnus Grønnegaard Frandsen, Tobias Cramer Pedersen and Rolf Poulsen ()
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Magnus Grønnegaard Frandsen: University of Copenhagen
Tobias Cramer Pedersen: University of Copenhagen
Rolf Poulsen: University of Copenhagen

Digital Finance, 2022, vol. 4, issue 1, No 1, 15 pages

Abstract: Abstract We show how and why to use a financially meaningful differential regularization method when pricing options by Monte Carlo simulation, be that in polynomial regression or neural network context.

Keywords: Differential machine learning; option pricing (search for similar items in EconPapers)
JEL-codes: C63 G13 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s42521-021-00041-7

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