Zhe Xu

Wells Fargo Bank

United States

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Scholarly Papers (1)

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Deep Learning-Based Least Square Forward-Backward Stochastic Differential Equation Solver for High-Dimensional Derivative Pricing

Number of pages: 22 Posted: 11 Jun 2019 Last Revised: 24 Jul 2019
Jian Liang, Zhe Xu and Peter Li
Wells Fargo Bank, Wells Fargo Bank and Wells Fargo Bank
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Abstract:

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partial differential equation (PDE), forward-backward stochastic differential equation (FBSDE), deep neural network (DNN), least square regression (LSQ), derivative pricing, Bermudan option, callable yield note (CYN), high-dimensional derivative pricing