A Time-Stepping Deep Gradient Flow Method for Option Pricing in (Rough) Diffusion Models

By Antonis Papapantoleon, Jasper Rou

Published 2024-03-01

Everscope rating

1499.1

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Time-Stepping Deep Gradient Flow (TDGF). Problem types: Option Pricing, PDE Solving.

arXiv:2403.00746 · Paper rankings

Open the interactive Everscope explorer for full analysis, charts, and paper battles.