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Apr, 2023
基于张量神经网络的百慕大掉期定价应用
Application of Tensor Neural Networks to Pricing Bermudan Swaptions
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Raj G. Patel, Tomas Dominguez, Mohammad Dib, Samuel Palmer, Andrea Cadarso...
TL;DR
本文介绍使用Tensor Neural Networks模型来有效解决利率衍生品Cheyette模型中Bermudan Swaption价格低估的问题,并证明该模型能够提供比传统密集神经网络(Dense Neural Networks)更快的训练速度和更准确的价格估计。
Abstract
The
cheyette model
is a quasi-Gaussian volatility interest rate model widely used to price
interest rate derivatives
such as European and
bermuda
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