Deep branching solution of financial partial differential equations
This paper compares the performance of the deep branching method against two other popular deep learning methods, deep BSDE and deep Galerkin, for solving partial differential equations (PDEs) in finance. The methods were tested on different financial models including Bachelier, Black-Scholes on Eur...
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| Format: | Final Year Project (FYP) |
| Language: | English |
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Nanyang Technological University
2023
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| Online Access: | https://hdl.handle.net/10356/166540 |