Optimizing Neural Networks for Bermudan Option Pricing: Convergence Acceleration, Future Exposure Evaluation and Interpolation in Counterparty Credit Risk

By Vikranth Lokeshwar Dhandpani, Shashi Jain

Published 2024-02-24

Everscope rating

1817.8

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Regress-Later Neural Network with Optimization (RLNN-OPT). Problem types: Regression, Time Series Forecasting, Risk Management.

arXiv:2402.15936 · Paper rankings

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