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Chen et al., 2021 - Google Patents

Deep structural estimation: With an application to option pricing

Chen et al., 2021

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Document ID
16578179092071498436
Author
Chen H
Didisheim A
Scheidegger S
Publication year
Publication venue
arXiv preprint arXiv:2102.09209

External Links

Snippet

We propose a novel structural estimation framework in which we train a surrogate of an economic model with deep neural networks. Our methodology alleviates the curse of dimensionality and speeds up the evaluation and parameter estimation by orders of …
Continue reading at arxiv.org (PDF) (other versions)

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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
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