Fractional Brownian motion in option pricing and dynamic delta hedging: Experimental simulations
Article in The North American Journal of Economics and Finance (January 2024)
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Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing
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An Exploration of a Balanced Up-downwind Scheme for Solving Heston Volatility Model Equations on Variable Grids
Preprint in Preprints.org (October 2018)