Search Results for author: Thorsten Rheinländer

Found 1 papers, 1 papers with code

Importance sampling for option pricing with feedforward neural networks

1 code implementation28 Dec 2021 Aleksandar Arandjelović, Thorsten Rheinländer, Pavel V. Shevchenko

We study the problem of reducing the variance of Monte Carlo estimators through performing suitable changes of the sampling measure which are induced by feedforward neural networks.

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