Options Evaluation in Large Classes of Rough Stochastic Volatility Models
ABSTRACT Partial differential equations (PDEs) are mathematical models widely used in physics, engineering, and finance to describe various phenomena. However, solving PDEs is often challenging, especially when the dimensionality is high. Deep learning techniques have shown great promise in solving PDEs in recent years. This review introduced a new approach for modelling local stochastic volatility ... Read More
Pages: 9 Words: 2234