Deep Learning of Transition Probability Densities for Stochastic Asset Models with Applications in Option Pricing
(2024)
Journal Article
Su, H., Tretyakov, M. V., & Newton, D. P. (2024). Deep Learning of Transition Probability Densities for Stochastic Asset Models with Applications in Option Pricing. Management Science, https://doi.org/10.1287/mnsc.2022.01448
Transition probability density functions (TPDFs) are fundamental to computational finance, including option pricing and hedging. Advancing recent work in deep learning, we develop novel neural TPDF generators through solving backward Kolmogorov equat... Read More about Deep Learning of Transition Probability Densities for Stochastic Asset Models with Applications in Option Pricing.