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Enhancing path-integral approximation for non-linear diffusion with neural network

arXiv 2404.08903 ↗First posted 13 Apr 2024q-fin.CP cs.LGcited by 0

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Abstract (arXiv)

Enhancing the existing solution for pricing of fixed income instruments within Black-Karasinski model structure, with neural network at various parameterisation points to demonstrate that the method is able to achieve superior outcomes for multiple calibrations across extended projection horizons.

Key facts. No citing papers in the map yet (data through 7 Oct 2026). Builds on 1 of its 33 references that are in the map. First posted on arXiv 13 Apr 2024.

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References · 1

  1. 2016Neural Taylor Approximations: Convergence and Exploration in Rectifier Networkscited by 9

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